A New Improvement Scheme for Approximation Methods of Probability Density Functions
AbstractThis 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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Bibliographic InfoPaper provided by CIRJE, Faculty of Economics, University of Tokyo in its series CIRJE F-Series with number CIRJE-F-874.
Length: 23 pages
Date of creation: Jan 2013
Date of revision:
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2013-02-03 (All new papers)
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