Binomial approximation to locally dependent collateralized debt obligations
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Publication:6086186
DOI10.1007/s11009-023-10057-8zbMath1523.62047arXiv2203.12895OpenAlexW4387705303MaRDI QIDQ6086186
Amit N. Kumar, Palaniappan Vellaisamy
Publication date: 9 November 2023
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2203.12895
Asymptotic distribution theory in statistics (62E20) Central limit and other weak theorems (60F05) Probability distributions: general theory (60E05) Derivative securities (option pricing, hedging, etc.) (91G20) Approximations to statistical distributions (nonasymptotic) (62E17)
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