| Autor: |
Yonghint, N., Neammanee, K. |
| Předmět: |
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| Zdroj: |
Communications in Statistics: Theory & Methods; 2024, Vol. 53 Issue 14, p5265-5279, 15p |
| Abstrakt: |
Let W be a sum of Bernoulli random variables which satisfies local dependence and hz be a call function. This function has many applications in finance. In this article, we give bounds of Poisson approximation for E [ h z (W) ] by using Stein-Chen's method. Our results improve the previous results. Finally, we apply these results to approximate the mean of percentage loss for each tranche in the collateralized debt obligation (CDO) tranche pricing. [ABSTRACT FROM AUTHOR] |
| Databáze: |
Complementary Index |
| Externí odkaz: |
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