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Normal approximation for call function via Stein's method |
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| รหัสดีโอไอ | |
| Title | Normal approximation for call function via Stein's method |
| Creator | Suporn Jongpreechaharn |
| Contributor | Kritsana Neammanee |
| Publisher | Chulalongkorn University |
| Publication Year | 2559 |
| Keyword | Approximation theory, Functions, Distribution (Probability theory), ทฤษฎีการประมาณค่า (คณิตศาสตร์), ฟังก์ชัน, การแจกแจง (ทฤษฎีความน่าจะเป็น) |
| Abstract | A call function is an important tool in nance. One uses this function to compute a payo from investment. In this work, we are attentive to approximate the call function by dividing this work into three parts. First, we give uniform and non-uniform bounds on normal approximation for the call function without correction term. Second, we improve and nd the explicit constants of a bound on normal approximation for the call function with a correction term proposed by Karoui and Jiao in 2009. Third, we propose uniform and non-uniform bounds of such approximation. In the part of non-uniform bounds we present both polynomial and exponential non-uniform bounds. Our techniques are Stein's method and the zero bias transformation. |
| URL Website | cuir.car.chula.ac.th |
