Computation of the Noncentral Gamma Distribution

DOI10.1137/S1064827594263631MaRDI QIDQ4895604zbMATH OpenFDO

Authors 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)

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Cited in

(14)

• \texttt{GammaCHI}: a package for the inversion and computation of the gamma and chi-square cumulative distribution functions (central and noncentral)
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• Calculation Methods for Wallenius' Noncentral Hypergeometric Distribution
• The S-system computation of non-central gamma distribution
• Algorithm 939
• Approximate arbitrage-free option pricing under the SABR model
• On normal stable Tweedie models and power-generalized variance functions of only one component
• On the computation of option prices and Greeks under the CEV model
• Valuation of bond options under the CIR model: some computational remarks
• Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable
• scientific article; zbMATH DE number 5029996 (Why is no real title available?)
• Classes of elementary function solutions to the CEV model I
• A note on computing extreme tail probabilities of the noncentral \(t\)-distribution with large noncentrality parameter

Describes a project that uses

Uses Software

• AS 226
• AS 231

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