ANNAERT, Jan; BATISTA, Crispiniano Garcia Joao; LAMOOT, … - Faculteit Toegepaste Economische Wetenschappen, … - 2007
saddlepoint approximation method. In this paper we show that the saddlepoint approximation is an accurate and robust tool only for … with large skewness and kurtosis. We show that for such portfolios the commonly applied saddlepoint approximations (the …-order standardized cumulants and the relative error on the saddlepoint. The more the cumulants and the relative error fluctuate for …