In this article we construct a kernel estimate of the probability density function from bivariate data that have been randomly censored. We study the large-sample properties of the proposed estimator ...

Summary: Building on the widely-used double-lognormal approach by Bahra (1997), this paper presents a multi-lognormal approach with restrictions to extract risk-neutral probability density functions ...

The problem of finding the probability density function of the product of n identically distributed independent normal variables was solved by Springer and Thompson (1966). Their formulae for n ⩽ 7 ...