On linear combination of generalized logistic random variables with an application to financial returns

作者：

Highlights：

• Mellin and inverse Mellin transform.

• Fox H function.

• Numerical routines for Fox H and for percentage points of linear combination of two independent logistic random variables.

• Application in the field of finance.

• Linear combination of two logistic random variables.

摘要

•Mellin and inverse Mellin transform.•Fox H function.•Numerical routines for Fox H and for percentage points of linear combination of two independent logistic random variables.•Application in the field of finance.•Linear combination of two logistic random variables.

论文关键词：Logistic random variable,Linear combination,Fox H function,Mellin transform,Inverse Mellin transform,Fox H numerical routine,Dependent logistic random variables

论文评审过程：Received 12 November 2019, Revised 6 April 2020, Accepted 12 April 2020, Available online 25 April 2020, Version of Record 25 April 2020.

论文官网地址：https://doi.org/10.1016/j.amc.2020.125314