AS 231

swMATH14185MaRDI QIDQ26091FDOQ26091

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Described by source

• Algorithm AS 231: The Distribution of a Noncentral Χ 2 Variable with Nonnegative Degrees of Freedom

Cited In (8)

• The non-null limiting distribution of the generalized Baumgartner statistic based on the Fourier series approximation
• On the computation of option prices and Greeks under the CEV model
• Probabilities and Large Quantiles of Noncentral Generalized Chi-Square Distributions
• An efficient algorithm for computing quantiles of the noncentral chi-squared distribution.
• Computation of the Noncentral Gamma Distribution
• A comparison of efficient approximations for a weighted sum of chi-squared random variables
• Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process
• Classes of elementary function solutions to the CEV model I

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