Normal approximation for call function via Stein’s method

DOI10.1080/03610926.2018.1476716OpenAlexW2901918349MaRDI QIDQ5866090

K. Neammanee, Suporn Jongpreechaharn

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

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• Stein's method and zero bias transformation for CDO tranche pricing
• Stein's method and the zero bias transformation with application to simple random sampling
• 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