A New Improvement Scheme for Approximation Methods of Probability Density Functions

Akihiko Takahashi and Yukihiro Tsuzuki
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Akihiko Takahashi: Faculty of Economics, The University of Tokyo
Yukihiro Tsuzuki: Graduate School of Economics, The University of Tokyo

No CIRJE-F-917, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: 　　 This paper develops a new scheme for improving an approximation method of a probability density function, which is inspired by the idea in the Hilbert space projection theorem . Moreover, we apply "Dykstra's cyclic projections algorithm" for its implementation. Numerical examples for application to an symptotic expansion method in option pricing demonstrate the effectiveness of our scheme under SABR model.

Pages: 20 pages
Date: 2014-02
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:tky:fseres:2014cf917

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