"A New Improvement Scheme for Approximation Methods of Probability Density Functions"

This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in <I>best approximation in an inner product space</I>. 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.

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Year of publication:	2013-01
Authors:	Takahashi, Akihiko ; Tsuzuki, Yukihiro
Institutions:	Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics

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Extent:	application/pdf
Series:	CIRJE F-Series.
Type of publication:	Book / Working Paper
Notes:	Number CIRJE-F-874 23 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011010119