Higher Order Large Deviation Approximations Applied to Cdo Pricing
نویسندگان
چکیده
منابع مشابه
Saddlepoint Approximations for Expectations and an Application to CDO Pricing
We derive two types of saddlepoint approximations for expectations in the form of E[(X − K)], where X is the sum of n independent random variables and K is a known constant. We establish error convergence rates for both types of approximations in the i.i.d. case. The approximations are further extended to cover the case of lattice variables. An application of the saddlepoint approximations to C...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2007
ISSN: 1556-5068
DOI: 10.2139/ssrn.1116884