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A new method for fast computation of cumulative distribution functions by fractional FFT
http://hdl.handle.net/10445/7719
http://hdl.handle.net/10445/7719bc9468db-0477-48d2-826c-2f011015deed
| Item type | 学術雑誌論文 / Journal Article(1) | |||||
|---|---|---|---|---|---|---|
| 公開日 | 2014-09-03 | |||||
| タイトル | ||||||
| タイトル | A new method for fast computation of cumulative distribution functions by fractional FFT | |||||
| 言語 | ||||||
| 言語 | eng | |||||
| 資源タイプ | ||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_6501 | |||||
| 資源タイプ | journal article | |||||
| アクセス権 | ||||||
| アクセス権 | metadata only access | |||||
| アクセス権URI | http://purl.org/coar/access_right/c_14cb | |||||
| 著者 |
田中, 健一郎
× 田中, 健一郎 |
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| 抄録 | ||||||
| 内容記述タイプ | Abstract | |||||
| 内容記述 | We consider computation of cumulative distribution functions from their corresponding characteristic functions. We may use some known formulas with singular integrals for the computation. It is, however, difficult to speed up the computation with such formulas, because the fast Fourier transform (FFT) cannot be applied directly to them. Based on existing works for pricing of financial derivatives, we propose a fast method for the computation with fractional FFT and obtain accurate results on the entire real line. | |||||
| 書誌情報 |
JSIAM Letters 巻 5, p. 57-60, 発行日 2013 |
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| ISSN | ||||||
| 収録物識別子タイプ | ISSN | |||||
| 収録物識別子 | 18830609 | |||||
| 査読有無 | ||||||
| 値 | あり/yes | |||||
| 研究業績種別 | ||||||
| 値 | 原著論文/Original Paper | |||||
| 単著共著 | ||||||
| 値 | 共著/joint | |||||
| 出版者 | ||||||
| 出版者 | 日本応用数理学会 | |||||
