Normal approximation for call function by refined Lindeberg principle

Peng Chen, Jun Liu, Yaqian Lu and Ting Zhang

Communications in Statistics - Theory and Methods, 2025, vol. 54, issue 8, 2342-2359

Abstract: The call function plays a crucial role in pricing the collateralized dept obligation (CDO) and we will generalize the refined Lindeberg principle developed in Chen, Shao, and Xu (2023) to study the normal approximation for the call function. In this article, we will give the uniform and non uniform bounds on normal approximation for the call function, under the assumptions that the third and (3+δ)-th moments of random variables exist, respectively, here δ∈(0,1].

Date: 2025
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DOI: 10.1080/03610926.2024.2369312

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