A new method for fast computation of cumulative distribution functions by fractional FFT

DOI10.14495/jsiaml.5.57zbMath1416.65571OpenAlexW2073634370MaRDI QIDQ3121203

Ken'ichiro Tanaka

Publication date: 15 March 2019

Published in: JSIAM Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14495/jsiaml.5.57

zbMATH Keywords

characteristic functioncumulative distribution functionfractional FFT

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for discrete and fast Fourier transforms (65T50)

Cites Work

• Efficient Options Pricing Using the Fast Fourier Transform
• The Fractional Fourier Transform and Applications