Central Limit Theorem
From WilmottWiki
Central Limit Theorem says that the distribution of the average of a lot of random numbers will be normal (also known as Gaussian) even when the individual numbers are not normally distributed.
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References
- Feller, W 1968 An Introduction to Probability Theory and Its Applications. 3rd ed. New York, Wiley
- Wilmott, P 2006 Frequently Asked Questions in Quantitative Finance. John Wiley & Sons
