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Variance-Gamma approximation via Stein's method

Abstract:

Variance-Gamma distributions are widely used in financial modeling and contain as special cases the normal, Gamma and Laplace distributions. In this paper we extend Stein's method to this class of distributions. In particular, we obtain a Stein equation and smoothness estimates for its solution. This Stein equation has the attractive property of reducing to the known normal and Gamma Stein equations for certain parameter values. We apply these results and local couplings to bound the distance...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1214/EJP.v19-3020

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Institution:
University of Oxford
Division:
MPLS
Department:
Statistics
Role:
Author
Publisher:
Institute of Mathematical Statistics Publisher's website
Journal:
Electronic Journal of Probability Journal website
Volume:
19
Issue:
0
Pages:
1-33
Publication date:
2014-03-29
Acceptance date:
2014-03-26
DOI:
EISSN:
1083-6489
ISSN:
1083-6489
Source identifiers:
561692
Keywords:
Pubs id:
pubs:561692
UUID:
uuid:fa4e5187-1436-4822-837d-ee020b215a22
Local pid:
pubs:561692
Deposit date:
2016-03-01

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