Closed-form evaluation of the cumulative distribution function and absolute moments of the variance-gamma distribution
Robert E. Gaunt, Heather L. Sutcliffe
Abstract
Closed-form formulas are derived for the cumulative distribution function and odd-order absolute moments of the variance-gamma distribution. As a special case, closed-form expressions are deduced for the cumulative distribution function and odd-order absolute central moments of the product of two correlated zero-mean normal random variables.
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