An algorithm for evaluating stable densities in Zolotarev's (M) parameterization
One of the major obstacles to the use of stable distributions in applications is the lack of formulas for their densities. A program is described to calculate a general alpha-stable density for alpha > 0.75 and any skewness value beta. (C) 1999 Elsevier Science Ltd. All rights reserved.
stable densities characteristic functions numerical quadrature skewed stable