The Inverse of the Cumulative Standard Normal Probability Function

DOI10.1080/1065246031000081698zbMATH Open1035.60009arXivmath/0306264OpenAlexW2114308701MaRDI QIDQ4440683FDOQ4440683

Authors: Diego Dominici 

Publication date: 9 March 2004

Published in: Integral Transforms and Special Functions (Search for Journal in Brave)

Abstract: Some properties of the inverse of the Normal distribution are studied. Its derivatives, integrals and asymptotic behavior are presented.

Full work available at URL: https://arxiv.org/abs/math/0306264

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zbMATH Keywords

probability distributionsspecial functions

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Incomplete beta and gamma functions (error functions, probability integral, Fresnel integrals) (33B20)

Cites Work

• The pricing of options and corporate liabilities
• On the Lambert \(w\) function
• Title not available (Why is that?)
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• The inverse of the error function

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• The Quantitative Modeling of Operational Risk: Between G-and-H and EVT
• Anscombe's model for sequential clinical trials revisited
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• Multilevel Monte Carlo methods and lower-upper bounds in initial margin computations
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