Algorithm AS 275: Computing the Non-Central χ2 Distribution Function.
Keywords for this software
References in zbMATH (referenced in 8 articles )
Showing results 1 to 8 of 8.
- Bodenham, Dean A.; Adams, Niall M.: A comparison of efficient approximations for a weighted sum of chi-squared random variables (2016)
- Baldeaux, Jan; Platen, Eckhard: Functionals of multidimensional diffusions with applications to finance (2013)
- Svoboda-Greenwood, Simona: Displaced diffusion as an approximation of the constant elasticity of variance (2009)
- Carr, Peter; Linetsky, Vadim: A jump to default extended CEV model: an application of Bessel processes (2006)
- Dyrting, S.: Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process (2004)
- Andersen, Leif; Andreasen, Jesper: Volatility skews and extensions of the Libor market model (2000)
- Ding, Cherng G.: An efficient algorithm for computing quantiles of the noncentral chi-squared distribution. (1999)
- Ding, C.G.: On the computation of the noncentral beta distribution (1994)