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Speed and Accuracy Comparison of Noncentral Chi-Square Distribution Methods for...
Larguinho, M.; Dias, J.C.; Braumann, C.A.Pricing options and evaluating greeks under the constant elasticity of variance (CEV) model require the computation of the noncentral chi-square distribution function. In this article, we compare the performance in terms of accuracy and computational time of alternative methods for computing such probability distributions against an xternally tested benchmark. In addition, we present closed-form solutions for c...
Data: 2011
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Origem: Repositório Científico da Universidade de Évora
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