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

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)

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