Conformal accelerations method and efficient evaluation of stable distributions
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Publication:2023071
conformal accelerationconformal principal componentsFourier transformsfractional partial differential equationssignal processingsinh-accelerationspecial functionsspectral methodsstable Lévy processes
Numerical approximation and evaluation of special functions (33F05) Fractional partial differential equations (35R11) Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Stable stochastic processes (60G52) Numerical integration (65D30) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70)
Abstract: We introduce new efficient integral representations and methods for evaluation of pdfs, cpds and quantiles of stable distributions. For wide regions in the parameter space, absolute errors of order can be achieved in 0.005-0.1 msec (Matlab implementation), even when the index of the distribution is small or close to 1. For the calculation of quantiles in wide regions in the tails using the Newton or bisection method, it suffices to precompute several hundred values of the characteristic exponent at points of an appropriate grid (conformal principal components) and use these values in formulas for cpdf and pdf, which require a fairly small number of elementary operations. The methods of the paper are applicable to other classes of integrals, especially highly oscillatory ones, and are typically faster than the popular methods.
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Cited in
(7)- SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS
- Conditional relative acceleration statistics and relative dispersion modelling
- Closed-form option pricing for exponential Lévy models: a residue approach
- Efficient evaluation of double-barrier options
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