Stein's method and zero bias transformation for CDO tranche pricing

DOI10.1007/s00780-008-0084-6zbMath1199.91063OpenAlexW2138672263MaRDI QIDQ964669

Nicole El Karoui, Ying Jiao

Publication date: 22 April 2010

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-008-0084-6

zbMATH Keywords

Stein's methodCDO pricingGaussian and Poisson approximationszero bias transformation

Mathematics Subject Classification ID

Related Items (5)

Binomial approximation to locally dependent collateralized debt obligations ⋮ Zero bias transformation and asymptotic expansions ⋮ Poisson approximation for call function via Stein-Chen method ⋮ Normal approximation for call function via Stein’s method ⋮ Pricing CDOs with state-dependent stochastic recovery rates

Cites Work

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• Poisson approximation for dependent trials
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• Stein's method and the zero bias transformation with application to simple random sampling
• \(L^1\) bounds in normal approximation
• Asymptotic expansions in the central limit theorem under moment conditions
• Poisson approximation for some statistics based on exchangeable trials
• Asymptotics of the price oscillations of a European call option in a tree model
• A non-uniform Berry-Esseen bound via Stein's method

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