Wasserstein and Kolmogorov Error Bounds for Variance-Gamma Approximation via Stein’s Method I
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DOI: 10.1007/s10959-018-0867-4
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- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
- Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
- Eden, Richard & Víquez, Juan, 2015. "Nourdin–Peccati analysis on Wiener and Wiener–Poisson space for general distributions," Stochastic Processes and their Applications, Elsevier, vol. 125(1), pages 182-216.
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Cited by:
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- Alexander Bulinski & Nikolay Slepov, 2022. "Sharp Estimates for Proximity of Geometric and Related Sums Distributions to Limit Laws," Mathematics, MDPI, vol. 10(24), pages 1-37, December.
- Barman, Kalyan & Upadhye, Neelesh S., 2024. "On Stein factors for Laplace approximation and their application to random sums," Statistics & Probability Letters, Elsevier, vol. 206(C).
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Keywords
Stein’s method; Variance-gamma approximation; Distributional transformation; Rate of convergence;All these keywords.
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