通过完善的林德伯格原理对调用函数进行正态逼近

IF 0.6 4区数学 Q4 STATISTICS & PROBABILITY

Communications in Statistics - Theory and Methods Pub Date : 2024-07-08 DOI:10.1080/03610926.2024.2369312

Peng Chen, Jun Liu, Yaqian Lu, Ting Zhang

引用次数: 0

摘要

看涨函数在抵押债务（CDO）的定价中起着至关重要的作用，我们将推广陈、邵和徐（2023）中提出的精炼林德伯格原理，研究看涨函数在CDO定价中的作用。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Normal approximation for call function by refined Lindeberg principle

The call function plays a crucial role in pricing the collateralized dept obligation (CDO) and we will generalize the refined Lindeberg principle developed in Chen, Shao, and Xu (2023) to study the...

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来源期刊

Communications in Statistics - Theory and Methods 数学-统计学与概率论

CiteScore

2.00

自引率

12.50%

发文量

320

审稿时长

7.5 months

期刊介绍： The Theory and Methods series intends to publish papers that make theoretical and methodological advances in Probability and Statistics. New applications of statistical and probabilistic methods will also be considered for publication. In addition, special issues dedicated to a specific topic of current interest will also be published in this series periodically, providing an exhaustive and up-to-date review of that topic to the readership.