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- W3161151456 abstract "In this paper, we develop Stein's method for negative binomial distribution using call function defined by $f_z(k)=(k-z)^+=max{k-z,0}$, for $kge 0$ and $z ge 0$. We obtain error bounds between $mathbb{E}[f_z(text{N}_{r,p})]$ and $mathbb{E}[f_z(V)]$, where $text{N}_{r,p}$ follows negative binomial distribution and $V$ is the sum of locally dependent random variables, using certain conditions on moments. We demonstrate our results through an interesting application, namely, collateralized debt obligation (CDO), and compare the bounds with the existing bounds." @default.
- W3161151456 created "2021-05-24" @default.
- W3161151456 creator A5059988698 @default.
- W3161151456 date "2021-05-15" @default.
- W3161151456 modified "2023-09-26" @default.
- W3161151456 title "Bounds on Negative Binomial Approximation to Call Function" @default.
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