Normal approximation for call function via Stein's method

• Published in: Communications in statistics. Theory and methods Vol. 48; no. 14; pp. 3498 - 3517
• Main Authors: Jongpreechaharn, Suporn, Neammanee, Kritsana
• Format: Journal Article
• Language: English
• Published: Philadelphia Taylor & Francis 18.07.2019; Taylor & Francis Ltd
• Subjects: Approximation; Call function; CDO pricing; Mathematical analysis; Mathematics Subject Classification 60F05; Random variables; Stein's method; Zero bias transformation
• ISSN: 0361-0926; 1532-415X
• DOI: 10.1080/03610926.2018.1476716

A Collateralized dept Obligation (CDO) is a cause of the Hamburger crisis in the USA. We use call function for pricing the CDO. In this paper, we first give uniform and non uniform bounds on normal approximation for the call function without correction term. In this part, we assume that the third an...