For sums of iid variables in the domain of normal attraction of an α-stable law with α in (1,2), the paper gives uniform and non-uniform rates for the error in replacing the call function expectation by its stable limit.
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Stable Approximation for Call Function Via Stein's method
For sums of iid variables in the domain of normal attraction of an α-stable law with α in (1,2), the paper gives uniform and non-uniform rates for the error in replacing the call function expectation by its stable limit.