Lognormal distribution
From WilmottWiki
The Lognormal distribution is a continuous probability distribution which is bounded below, unbounded above. It has two parameters: 
, location; 
scale. Its probability density function is given by
.
This distribution is commonly used to model equity prices. Lognormality of prices follows from the assumption of normally distributed returns.
Mean = 
and Variance = 
.
[edit]
References
- Spiegel, MR, Schiller, JJ, Srinivasan, RA 2000 Schaum's Outline of Probability and Statistics. McGraw-Hill
