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

zbMATH Open1485.60025MaRDI QIDQ5064705FDOQ5064705

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

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zbMATH Keywords

normal approximationcentral limit theoremStein's methodlocal dependencecollateralized debt obligationnon-uniform boundcall function

Mathematics Subject Classification ID

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

Cited In (3)

• Bounds on negative binomial approximation to call function
• Poisson approximation for call function via Stein-Chen method
• Binomial approximation to locally dependent collateralized debt obligations

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