Variance-Gamma approximation via Stein's method
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...
| Main Author: | |
|---|---|
| Format: | Journal article |
| Published: |
Institute of Mathematical Statistics
2014
|