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A New Improvement Scheme for Approximation Methods of Probability Density Functions
http://hdl.handle.net/2261/53263
http://hdl.handle.net/2261/53263012838b1-2f05-444b-b86b-50a64d140f44
Item type | テクニカルレポート / Technical Report(1) | |||||
---|---|---|---|---|---|---|
公開日 | 2013-05-31 | |||||
タイトル | ||||||
タイトル | A New Improvement Scheme for Approximation Methods of Probability Density Functions | |||||
言語 | ||||||
言語 | eng | |||||
キーワード | ||||||
主題 | Density approximation | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Probability density function | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Asymptotic expansion | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Best approximation in inner product spaces | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Dykstra's algorithm | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | Option pricing | |||||
主題Scheme | Other | |||||
キーワード | ||||||
主題 | SABR model | |||||
主題Scheme | Other | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_18gh | |||||
タイプ | technical report | |||||
アクセス権 | ||||||
アクセス権 | metadata only access | |||||
アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
著者 |
Takahashi, Akihiko
× Takahashi, Akihiko× Tsuzuki, Yukihiro |
|||||
著者所属 | ||||||
著者所属 | Graduate School of Economics, University of Tokyo | |||||
抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in best approximation in an inner product space. Moreover, we applies "Dykstra's cyclic projections algorithm" for its implementation. Numerical examples for application to an asymptotic expansion method in option pricing demonstrate the effectiveness of our scheme under Black-Scholes and SABR models. | |||||
内容記述 | ||||||
内容記述タイプ | Other | |||||
内容記述 | 本文フィルはリンク先を参照のこと | |||||
書誌情報 |
Discussion paper series. CIRJE-F 巻 CIRJE-F-874, 発行日 2013-01 |
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書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11450569 | |||||
フォーマット | ||||||
内容記述タイプ | Other | |||||
内容記述 | application/pdf | |||||
日本十進分類法 | ||||||
主題 | 335 | |||||
主題Scheme | NDC | |||||
出版者 | ||||||
出版者 | 日本経済国際共同センター | |||||
出版者別名 | ||||||
Center for International Research on the Japanese Economy | ||||||
関係URI | ||||||
識別子タイプ | URI | |||||
関連識別子 | http://www.cirje.e.u-tokyo.ac.jp/research/dp/2013/2013cf874ab.html |