Poisson approximation for call function via Stein-Chen method

DOI10.1007/s40840-019-00729-5zbMath1434.60074OpenAlexW2912551416WikidataQ128374932 ScholiaQ128374932MaRDI QIDQ2305612

Nat Yonghint, K. Neammanee

Publication date: 11 March 2020

Published in: Bulletin of the Malaysian Mathematical Sciences Society. Second Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s40840-019-00729-5

zbMATH Keywords

Poisson approximationStein-Chen methodcall functionCDO tranche pricing

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

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Cites Work

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• Gaussian and Poisson approximation: applications to CDOs tranche pricing
• Multivariate normal approximations by Stein's method and size bias couplings

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