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NCX2 distribution warning in CEV #11

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NCX2 distribution warning in CEV#11
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jaehyukchoi

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@jaehyukchoi
jaehyukchoi
opened on Feb 22, 2021
FER::CevPrice(seq(0.1, 2, 0.1), 1, 1, sigma=0.1, beta=0.5)

causing a warning message

Warning message:
In stats::pchisq(800, df = 4, ncp = 400, lower.tail = F) :
  full precision may not have been achieved in 'pnchisq'

strike=2 corresponds to

stats::pchisq(800, df=4, ncp=400, lower.tail=F)
  • It is just a warning. The value seems OK. How to make the warnings silent?
  • Also consider Hagan's equivalent BS volatility for very small volatility.

Activity

  1. jaehyukchoi
    self-assigned this
    on Feb 22, 2021
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