Lognormal distribution for Monte Carlo Simulation

Asked Sep 14 '21 at 08:10

Active Sep 14 '21 at 08:36

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I have to do this MC Simulation of but the parameters I change should have a lognormal distribution. My problem is that I don't know how to make them have a lognormal distribution. Are the mean and the std deviation found the same way as the normal distribution? Please help me.

Thank you,

edited Sep 14 '21 at 08:36

phd

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asked Sep 14 '21 at 08:10

Assia Chadly

No, they are not the same, please check https://stackoverflow.com/questions/68575639/lognormal-distribution/68585321#68585321 – Severin Pappadeux Sep 14 '21 at 14:32
Thank you. Any idea how I can find the mean and standard deviation using the low and high values only please? – Assia Chadly Sep 15 '21 at 05:52
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You clearly need mu/sigma for log-normal. What data do you have to compute them? – Severin Pappadeux Sep 15 '21 at 15:57
I only have the low, base, and high values. – Assia Chadly Sep 16 '21 at 01:44
Could you post them? – Severin Pappadeux Sep 16 '21 at 02:34
Sure, for example, I have these values for the interest rate: Low: 4% Base: 8% High: 11.6% – Assia Chadly Sep 16 '21 at 03:55
Mmmm... and how they are related to LN distribution? Anyway, if they are, e.g. related to the LN quantile function, you write several equations for quantile expression (see wiki) and assign it to you low/high/... Then you solve those equation for the mu and sigma, and use those mu and sigma – Severin Pappadeux Sep 17 '21 at 13:54
Alright I will, thank you! – Assia Chadly Sep 18 '21 at 15:05
Please clarify your specific problem or provide additional details to highlight exactly what you need. As it's currently written, it's hard to tell exactly what you're asking. – Community Sep 20 '21 at 12:55

Lognormal distribution for Monte Carlo Simulation

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