Saddlepoint Approximations for the Doubly Noncentral t Distribution
نویسندگان
چکیده
Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed. Saddlepoint Approximations for the Doubly Noncentral t Distribution Simon Broda Marc S. Paolella Swiss Banking Institute, University of Zurich, Switzerland September 2006 Abstract Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed.Closed-form approximations for the density and cumulative distribution function of the doubly noncentral t distribution are developed based on saddlepoint methods. They exhibit remarkable accuracy throughout the entire support of the distribution and are vastly superior to existing approximations. An application in finance is considered which capitalizes on the enormous increase in computational speed.
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