Saddlepoint Approximations for Expectations and an Application to CDO Pricing

被引：5

作者：

Huang, Xinzheng ^{[1
]}

Oosterlee, Cornelis W. ^{[2
,3
]}

机构：

[1] ABN AMRO Bank NV, NL-1082 PP Amsterdam, Netherlands

[2] CWI Natl Res Inst Math & Comp Sci, NL-1098 XG Amsterdam, Netherlands

[3] Delft Univ Technol, Delft, Netherlands

来源：

SIAM JOURNAL ON FINANCIAL MATHEMATICS | 2011年 / 2卷 / 01期

关键词：

saddlepoint approximation; expectation; lattice variables; price of collateralized debt obligations;

D O I：

10.1137/100784084

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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 independently and identically distributed case. The approximations are further extended to cover the case of lattice variables. An application of the saddlepoint approximations to CDO pricing is presented.

引用

页码：692 / 714

页数：23

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