英文标题：
《Reconstruction of density functions by sk-splines》
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作者：
A. Kushpel and J. Levesley
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最新提交年份：
2014
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英文摘要：
Reconstruction of density functions and their characteristic functions by radial basis functions with scattered data points is a popular topic in the theory of pricing of basket options. Such functions are usually entire or admit an analytic extension into an appropriate tube and \"bell-shaped\" with rapidly decaying tails. Unfortunately, the domain of such functions is not compact which creates various technical difficulties. We solve interpolation problem on an infinite rectangular grid for a wide range of kernel functions and calculate explicitly their Fourier transform to obtain representations for the respective density functions.
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中文摘要：
利用离散数据点的径向基函数重构密度函数及其特征函数是篮子期权定价理论中的一个热门话题。这类函数通常是完整的，或者允许一个分析扩展到一个合适的管中，并带有快速衰减的尾部的“钟形”。不幸的是，这些功能的领域并不紧凑，这造成了各种技术困难。我们在一个无限矩形网格上求解各种核函数的插值问题，并显式地计算它们的傅里叶变换，以获得相应密度函数的表示。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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