Autor:	Kumar, Amit N., Vellaisamy, P.
Rok vydání:	2022
Předmět:	Mathematics - Probability Primary: 62E17 62E20 Secondary: 60F05 60E05
Druh dokumentu:	Working Paper
Popis:	In this paper, we develop Stein's method for binomial approximation using the stop-loss metric that allows one to obtain a bound on the error term between the expectation of call functions. We obtain the results for a locally dependent collateralized debt obligation (CDO), under certain conditions on moments. The results are also exemplified for an independent CDO. Finally, it is shown that our bounds are sharper than the existing bounds. Comment: 19 pages
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2203.12895 Zobrazit plný text záznamu View this record from Arxiv