Non-uniform bound on normal approximation for call function of locally dependent random variables

MaRDI QIDQ5064705zbMATH OpenFDO

Authors Suporn Jongpreechaharn, K. Neammanee

Publication date 16 March 2022

Full work available at URL http://ijmcs.future-in-tech.net/17.1/R-Neammanee.pdf

zbMATH Keywords

call functioncentral limit theoremcollateralized debt obligationlocal dependencenon-uniform boundnormal approximationStein's method

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Approximations to statistical distributions (nonasymptotic) (62E17) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Bounds on negative binomial approximation to call function
• Normal approximation for call function of m-dependent random variables with 2+ -th moment

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