Computation of the Noncentral Gamma Distribution

DOI10.1137/S1064827594263631zbMath0856.65153MaRDI QIDQ4895604

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) Approximations to statistical distributions (nonasymptotic) (62E17) Probabilistic methods, stochastic differential equations (65C99)

Related Items (11)

\texttt{GammaCHI}: a package for the inversion and computation of the gamma and chi-square cumulative distribution functions (central and noncentral) ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ The Asymptotic and Numerical Inversion of the MarcumQ-Function ⋮ Universal recurrence algorithm for computing Nuttall, generalized Marcum and incomplete Toronto functions and moments of a noncentral \(\chi^{2}\) random variable ⋮ On the computation of option prices and Greeks under the CEV model ⋮ The S-system computation of non-central gamma distribution ⋮ Computing the noncentral gamma distribution, its inverse and the noncentrality parameter ⋮ On normal stable Tweedie models and power-generalized variance functions of only one component ⋮ Classes of elementary function solutions to the CEV model I ⋮ Valuation of Bond Options Under the CIR Model: Some Computational Remarks ⋮ Algorithm 939

Uses Software

• AS 226
• AS 231

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