Order estimates for the exact Lugannani-Rice expansion

DOI10.1007/s13160-015-0199-zzbMath1333.62051arXiv1310.3347OpenAlexW3121901666MaRDI QIDQ263055

Kenichi Yoshikawa, Jun Sekine, Takashi Kato

Publication date: 4 April 2016

Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.3347

zbMATH Keywords

saddlepoint approximationasymptotic expansionstochastic volatility modelsLugannani-Rice formulaorder estimates

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Approximations to statistical distributions (nonasymptotic) (62E17) Algorithms for approximation of functions (65D15)

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