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Application of the improved fast Gauss transform to option pricing under jump-diffusion processes
http://hdl.handle.net/2241/00146111
http://hdl.handle.net/2241/00146111064e8b30-4677-4e24-b50e-a1a68460f6a1
名前 / ファイル | ライセンス | アクション |
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JCF_18-2 (878.9 kB)
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Item type | Journal Article(1) | |||||
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公開日 | 2017-05-17 | |||||
タイトル | ||||||
タイトル | Application of the improved fast Gauss transform to option pricing under jump-diffusion processes | |||||
言語 | ||||||
言語 | eng | |||||
資源タイプ | ||||||
資源 | http://purl.org/coar/resource_type/c_6501 | |||||
タイプ | journal article | |||||
著者 |
Sakuma, Takayuki
× Sakuma, Takayuki× Yamada, Yuji |
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著者別名 |
山田, 雄二
× 山田, 雄二 |
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抄録 | ||||||
内容記述タイプ | Abstract | |||||
内容記述 | Efficient kernel summation is an active research topic in machine learning and computational physics. Fast multipole methods (FMMs) in particular are known as efficient computational methods in these fields, but they have not gained much attention in computational finance. In this paper,we apply the improved fast Gauss transform (IFGT), a version of an FMM, to the computation of European-type option prices under Merton's jump-diffusion model. IFGT is applied to computing the nonlocal integral terms in partial integrodifferential equations, and our results indicate that IFGT is useful for the fast computation of option pricing under this model. | |||||
書誌情報 |
The journal of computational finance 巻 18, 号 2, p. 31-55, 発行日 2014-12 |
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ISSN | ||||||
収録物識別子タイプ | ISSN | |||||
収録物識別子 | 1460-1559 | |||||
書誌レコードID | ||||||
収録物識別子タイプ | NCID | |||||
収録物識別子 | AA11248488 | |||||
DOI | ||||||
識別子タイプ | DOI | |||||
関連識別子 | 10.21314/JCF.2014.276 | |||||
著者版フラグ | ||||||
値 | publisher | |||||
出版者 | ||||||
出版者 | Incisive Media |