The Lognormal Distribution

A non – negative random variableis said to have a lognormal distribution if the random variablehas a normal distribution. The resulting probability density function of a lognormal random variable whenis normally distributed with parameters and is

It must be noted thatandare not the mean and standard deviation ofbut ofThe mean and variance ofareand

Becausehas a normal distribution the cumulative distribution function ofcan be expressed in terms of the cumulative distribution function of the standard normal random variable

Example: Ifandthen

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