Poisson approximation for the expectation of call function with application in collateralized debt obligation

被引：1
|
作者：
Yonghint, N. [1 ]
Neammanee, K. [2 ]
机构：
[1] Chulalongkorn Univ, Fac Sci, Dept Math & Comp Sci, Bangkok, Thailand
[2] Commiss Higher Educ, Ctr Excellence Math, Bangkok 10400, Thailand
来源：
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2024年 / 53卷 / 14期
关键词：
Call function; local dependence; Stein-Chen's method; Poisson approximation; collateralized debt obligation (CDO); ZERO-BIAS TRANSFORMATION; STEINS METHOD;
D O I：
10.1080/03610926.2023.2215359
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
Let W be a sum of Bernoulli random variables which satisfies local dependence and h(z) 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.
引用
收藏
页码：5265 / 5279
页数：15
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