|
Poisson approximation for call function via Stein-Chen’s method |
|---|---|
| รหัสดีโอไอ | |
| Title | Poisson approximation for call function via Stein-Chen’s method |
| Creator | Nat Yonghint |
| Contributor | Kritsana Neammanee |
| Publisher | Chulalongkorn University |
| Publication Year | 2559 |
| Keyword | Collateralized debt obligations, Distribution (Probability theory), ตราสารที่มีหนี้เป็นหลักประกัน, การแจกแจง (ทฤษฎีความน่าจะเป็น) |
| Abstract | A call function is a nonnegative real-valued function defined by hz(v) = (v−z)+ for z " 0 where (v − z)+ = max{v − z, 0}. There are many applications of call function in finance. For example, the standard collateralized debt obligation tranche pricing. In this work, we give bounds of Poisson approximation for hz(V ) where V is a sum of independent nonnegative integer-valued random variables. The technique used is Stein-Chen’s method with the zero bias transformation. Moreover, in case that V is a sum of independent Bernoulli random variables, we improve the bounds of Poisson approximation for hz(V ) by adding some correction terms. |
| URL Website | cuir.car.chula.ac.th |
