Stein’s method and zero bias transformation for CDO tranche pricing
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Finance,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00780-008-0084-6.pdf
Reference19 articles.
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3. Barbour, A.D., Eagleson, G.K.: Poisson approximation for some statistics based on exchangeable trials. Adv. Appl. Probab. 15, 585–600 (1983)
4. Chen, L.H.Y.: Poisson approximation for dependent trials. Ann. Probab. 3, 534–545 (1975)
5. Chen, L.H.Y., Shao, Q.-M.: A non-uniform Berry–Esséen bound via Stein’s method. Probab. Theory Relat. Fields 120, 236–254 (2001)
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