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non-central chi-square density
Hey everyone,Does anyone know how to calculate the non-central chi-square density as af function of the input paramters in the square-root process, i.e. as function of kappa, theta and vol-of-vol (a simple closed-form expression, please)?Best regards,Tropp
non-central chi-square density
the expression is in the Bates paper Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in DM Optionsthe paper is on his web-sitejust type David S Bates on Google