Computation of the Noncentral Gamma Distribution

DOI10.1137/S1064827594263631zbMATH Open0856.65153MaRDI QIDQ4895604FDOQ4895604

Leo Knüsel, B. Bablok

Publication date: 2 March 1997

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

zbMATH Keywords

noncentrality parameterslower and upper quantileslower and upper tail probabilitiesnoncentral gamma distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Probabilistic methods, stochastic differential equations (65C99) Approximations to statistical distributions (nonasymptotic) (62E17)

Cited In (13)

• On the computation of option prices and Greeks under the CEV model
• On normal stable Tweedie models and power-generalized variance functions of only one component
• Approximate arbitrage-free option pricing under the SABR model
• Title not available (Why is that?)
• Valuation of Bond Options Under the CIR Model: Some Computational Remarks
• Algorithm 939
• \texttt{GammaCHI}: a package for the inversion and computation of the gamma and chi-square cumulative distribution functions (central and noncentral)
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
• The S-system computation of non-central gamma distribution
• Computing the noncentral gamma distribution, its inverse and the noncentrality parameter
• Calculation Methods for Wallenius' Noncentral Hypergeometric Distribution
• The asymptotic and numerical inversion of the Marcum \(Q\)-function
• Classes of elementary function solutions to the CEV model I

Uses Software

• AS 226
• AS 231

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