I am trying to simulate multivariate lognormal distribution values using means(mu), standard deviations(sigma), and correlations(rho) matrices. Does anyone have any source I can read about to simulate multivariate lognormal distribution?
Simulate the multivariate normal, then take exponents of variables. Take a look at this parameterization of it. The means and covaraince matrix in this parameterization are of the logs of multivariate normals. The means and covarainces of lognormals can be easily calculated following the equations.
If your inputs are the mean and covariance matrix of the lognormals themselves, then you can convert them into normals, and proceed as I suggested