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ON THE CUMULATIVE DISTRIBUTION FUNCTION OF THE VARIANCE-GAMMA DISTRIBUTION
Published online by Cambridge University Press: 29 January 2024
Abstract
We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we deduce exact formulas for the cumulative distribution function of the product of two correlated zero-mean normal random variables.
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- © The Author(s), 2024. Published by Cambridge University Press on behalf of Australian Mathematical Publishing Association Inc.
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