Normal approximation for call function via Stein’s method

DOI10.1080/03610926.2018.1476716MaRDI QIDQ5866090zbMATH OpenOpenAlexFDO

Authors Suporn Jongpreechaharn, K. Neammanee

Publication date 10 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2018.1476716

zbMATH Keywords

Stein's methodCDO pricingzero bias transformationcall function

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05)

Cites work

• scientific article; zbMATH DE number 50805 (Why is no real title available?)
• scientific article; zbMATH DE number 3438144 (Why is no real title available?)
• An empirical study of pricing and hedging collateralized debt obligation (CDO)
• Normal Approximation by Stein’s Method
• On the analytical structure of the constant in the nonuniform version of the esseen inequality
• Refinement on the constants in the non-uniform version of the Berry--Esseen theorem
• Stein's method and the zero bias transformation with application to simple random sampling
• Stein's method and zero bias transformation for CDO tranche pricing

Cited in

(2)

• Poisson approximation for the expectation of call function with application in collateralized debt obligation
• Poisson approximation for locally dependent CDO

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