For the family of multivariate normal distribution functions, Stein's Lemma presents a useful tool for calculating covariances between functions of the component random variables. Motivated by applications to corporate finance, we prove a generalization of Stein's Lemma to the family of elliptical distributions.
Bibliographical noteFunding Information:
The first author acknowledges financial support by the FIM, ETH Zurich. The second author was supported by RiskLab, ETH Zurich. The authors thank Paul Embrechts for bringing Froot  to their attention and for fruitful discussions. They are grateful to the referees for their thorough comments and suggestions.
- Density generator
- Elliptical distribution
- Generalized hyperbolic distribution
- Normal distribution
- Normal mixtures
- Pearson Type VII distribution
- Spherical distribution
- Stein's Lemma
- Student t distribution