Computation of the Bivariate Normal Integral

DOI10.2307/2006276zbMATH Open0378.33002OpenAlexW4239461866MaRDI QIDQ4157419FDOQ4157419

Authors: Zvi Drezner 

Publication date: 1978

Full work available at URL: https://doi.org/10.2307/2006276

Mathematics Subject Classification ID

Computation of special functions and constants, construction of tables (65D20) Software, source code, etc. for problems pertaining to statistics (62-04) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Cites Work

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• Gaussian Quadratures for the Integrals � ∞ 0 exp(-x 2 )f(x)dx and � b 0 exp(-x 2 )f(x)dx
• On Computation of the Bivariate Normal Distribution

Cited In (11)

• MultiFactor Valuation of Floating Range Notes
• The computation of bivariate normal and \(t\) probabilities, with application to comparisons of three normal means
• Computation of the Trivariate Normal Integral
• Economic design of inspection procedures using guard band when measurement errors are present
• An evaluation of the integral of the product of the error function and the normal probability density with application to the bivariate normal integral
• A novel series expansion for the multivariate normal probability integrals based on Fourier series
• Analytical solutions for expected loss and standard deviation of loss with an additional loan
• Accurate distribution and its asymptotic expansion for the tetrachoric correlation coefficient
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Pricing equity-indexed annuities with path-dependent options.
• The evaluation of bivariate normal probabilities for failure of parallel systems

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