A New Improvement Scheme on Approximation Methods for Probability Density Functions

IF 0.8 4区经济学 Q4 BUSINESS, FINANCE

Journal of Computational Finance Pub Date : 2014-02-01 DOI:10.2139/ssrn.2205662

Akihiko Takahashi, Yukihiro Tsuzuki

引用次数: 3

Abstract

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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概率密度函数近似方法的一种新改进方案

本文受内积空间中最佳逼近思想的启发，提出了一种改进概率密度函数近似方法的新方案。此外，我们采用“Dykstra的循环投影算法”来实现它。应用于期权定价的渐近展开方法的数值实例表明了该方法在Black-Scholes和SABR模型下的有效性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Computational Finance BUSINESS, FINANCE-

CiteScore

0.90

自引率

0.00%

发文量

期刊介绍： The Journal of Computational Finance is an international peer-reviewed journal dedicated to advancing knowledge in the area of financial mathematics. The journal is focused on the measurement, management and analysis of financial risk, and provides detailed insight into numerical and computational techniques in the pricing, hedging and risk management of financial instruments. The journal welcomes papers dealing with innovative computational techniques in the following areas: Numerical solutions of pricing equations: finite differences, finite elements, and spectral techniques in one and multiple dimensions. Simulation approaches in pricing and risk management: advances in Monte Carlo and quasi-Monte Carlo methodologies; new strategies for market factors simulation. Optimization techniques in hedging and risk management. Fundamental numerical analysis relevant to finance: effect of boundary treatments on accuracy; new discretization of time-series analysis. Developments in free-boundary problems in finance: alternative ways and numerical implications in American option pricing.