Stable approximation for call function via Stein's method

DOI10.1016/J.SPL.2024.110328MaRDI QIDQ7025591zbMATH OpenFDO

Authors Peng Chen, Tianyi Qi, Ting Zhang

Publication date 19 February 2025

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2024.110328

zbMATH Keywords

call functionCDO pricingstable approximationStein's method

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Central limit and other weak theorems (60F05) Financial applications of other theories (91G80)

Cites work

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Cited in

(1)

• Normal approximation for call function of m-dependent random variables with 2+ -th moment

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