AS 275

MaRDI QIDQ26115swMATHFDO

Official website http://www.jstor.org/stable/2347584?seq=1#page_scan_tab_contents

Cited in

(18)

• The non-null limiting distribution of the generalized Baumgartner statistic based on the Fourier series approximation
• Volatility skews and extensions of the Libor market model
• An efficient algorithm for computing quantiles of the noncentral chi-squared distribution.
• Approximate arbitrage-free option pricing under the SABR model
• A comparison of efficient approximations for a weighted sum of chi-squared random variables
• Functionals of multidimensional diffusions with applications to finance
• AS 245
• AS 226
• AS 231
• CompQuadForm
• AS 204
• AS 106
• A jump to default extended CEV model: an application of Bessel processes
• Refined normal approximations for the central and noncentral chi-square distributions and some applications
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• Displaced diffusion as an approximation of the constant elasticity of variance
• On the computation of the noncentral beta distribution
• Classes of elementary function solutions to the CEV model I

This page was built for software: AS 275