Saddlepoint approximations for the doubly noncentral t distribution

Authors:
Simon Broda;Marc S. Paolella
Affiliations:
Swiss Banking Institute, University of Zurich, Switzerland;Swiss Banking Institute, University of Zurich, Switzerland
Venue:
Computational Statistics & Data Analysis
Year:
2007

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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.