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 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.

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Year of publication:	2013-01
Authors:	Takahashi, Akihiko ; Tsuzuki, Yukihiro
Institutions:	Center for Advanced Research in Finance, Faculty of Economics

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Extent:	application/pdf
Series:	CARF F-Series.
Type of publication:	Book / Working Paper
Notes:	Number CARF-F-305 23 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011204391