Approximations to the non-central chi-square distribution

From MaRDI portal
Publication:5338568

DOI10.1093/biomet/50.1-2.199zbMath0129.33401OpenAlexW1991974754MaRDI QIDQ5338568

Munuswamy Sankaran

Publication date: 1963

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/50.1-2.199




Related Items (23)

A LOW-BIAS SIMULATION SCHEME FOR THE SABR STOCHASTIC VOLATILITY MODELNew expression for CDF of \(\chi_{\nu}^{\prime 2}(\lambda)\) distribution and Marcum \(Q_1\) functionOn new formulas for the cumulative distribution function of the noncentral chi-square distributionOn an efficient multiple time step Monte Carlo simulation of the SABR modelApproximate arbitrage-free option pricing under the SABR modelMultivariate control charts: An optimizaton approach to the effective use and measurement of performanceAn optimal design of multivariate control charts in the presence of multiple assignable causesOn the Computation of Non-Central Chi-Square Distribution FunctionRefined normal approximations for the central and noncentral chi-square distributions and some applicationsCOLLOCATING VOLATILITY: A COMPETITIVE ALTERNATIVE TO STOCHASTIC LOCAL VOLATILITY MODELSOn a one time-step Monte Carlo simulation approach of the SABR model: application to European optionsOn the computation of option prices and Greeks under the CEV modelConstant elasticity of variance (CEV) option pricing model: Integration and detailed derivationThe equivalent constant-elasticity-of-variance (CEV) volatility of the stochastic-alpha-beta-rho (SABR) modelIncomplete Exponential and Hypergeometric Functions with Applications to the Non Central χ2-DistributionA simple approximation for the doubly noncentral t-distributionProbabilities and Large Quantiles of Noncentral Generalized Chi-Square DistributionsOn bootstrap inconsistency and Bonferroni-based size-correction for the subset Anderson-Rubin test under conditional homoskedasticityCDF of non-central \(\chi^2\) distribution revisited. Incomplete hypergeometric type functions approachEstimating doubly stochastic Poisson process with affine intensities by Kalman filterA Revisit to Sample Size and Power Calculations for Testing Odds Ratio in Two Independent BinomialsNew representations of the noncentral chi-square density and cumulativeCredit default swaps with and without counterparty and collateral adjustments




This page was built for publication: Approximations to the non-central chi-square distribution