wilmott.com

Posted: **March 31st, 2003, 12:02 pm**

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

Posted: **March 31st, 2003, 12:29 pm**

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