2024-03-28T12:18:58Z
https://repository.dl.itc.u-tokyo.ac.jp/oai
oai:repository.dl.itc.u-tokyo.ac.jp:00042626
2022-12-19T04:17:48Z
62:7433:7434
9:7435:7436
A New Improvement Scheme for Approximation Methods of Probability Density Functions
Takahashi, Akihiko
98027
Tsuzuki, Yukihiro
98028
Density approximation
Probability density function
Asymptotic expansion
Best approximation in inner product spaces
Dykstra’s algorithm
Option pricing
SABR model
application/pdf
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 apply “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 SABR model.
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technical report
日本経済国際共同センター
2014-02
Discussion paper series. CIRJE-F
CIRJE-F-917
AA11450569
eng
http://www.cirje.e.u-tokyo.ac.jp/research/dp/2014/2014cf917ab.html
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