AS 275
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Software:26115
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Related Items (12)
A comparison of efficient approximations for a weighted sum of chi-squared random variables ⋮ Volatility skews and extensions of the Libor market model ⋮ On the computation of the noncentral beta distribution ⋮ A jump to default extended CEV model: an application of Bessel processes ⋮ Approximate arbitrage-free option pricing under the SABR model ⋮ Refined normal approximations for the central and noncentral chi-square distributions and some applications ⋮ The non-null limiting distribution of the generalized Baumgartner statistic based on the Fourier series approximation ⋮ Functionals of multidimensional diffusions with applications to finance ⋮ Evaluating the noncentral chi-square distribution for the Cox-Ingersoll-Ross process ⋮ An efficient algorithm for computing quantiles of the noncentral chi-squared distribution. ⋮ Classes of elementary function solutions to the CEV model I ⋮ Displaced Diffusion as an Approximation of the Constant Elasticity of Variance
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