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can anyone help me for calculating this expectation? Thanks a lot!where are correlated normal random variables with coefficient c.

It's not so hard.You know the pdf of two correlated r.v., what can you do then?

http://en.wikipedia.org/wiki/Multivaria ... stribution

I have got it. thanks.

QuoteOriginally posted by: DevonFangsIt's not so hard.You know the pdf of two correlated r.v., what can you do then?but how to calculate the covariance of the lognormal and the normal r.v. ?

Just write down the integral as the very definition of expected value

How about conditioning wrt to x_1.E(x_1 * exp(x_1+x_2)) = E( x_1* exp x_1 E( exp x_2 / x_1))

you are right. just some tedious calculation... ~>_<~QuoteOriginally posted by: DevonFangsJust write down the integral as the very definition of expected value

the calculation for the conditional expectation is the same tedious as directly applying the bivariate normal density....QuoteOriginally posted by: rg209How about conditioning wrt to x_1.E(x_1 * exp(x_1+x_2)) = E( x_1* exp x_1 E( exp x_2 / x_1))