Journal ArticleDOI
Algorithm 462: bivariate normal distribution
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This article is published in Communications of The ACM.The article was published on 1973-10-01. It has received 93 citations till now. The article focuses on the topics: Ratio distribution & Matrix normal distribution.read more
Citations
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Journal ArticleDOI
Numerical Computation of Multivariate Normal Probabilities
TL;DR: This article describes a transformation that simplifies the problem and places it into a form that allows efficient calculation using standard numerical multiple integration algorithms.
Journal ArticleDOI
Numerical computation of rectangular bivariate and trivariate normal and t probabilities
TL;DR: Test results are provided, along with recommendations for the most efficient algorithms for single and double precision computations, and a generalization of Plackett's formula is derived for bivariate and trivariate t probabilities.
Journal ArticleDOI
On the computation of the bivariate normal integral
Zvi Drezner,G. O. Wesolowsky +1 more
TL;DR: In this paper, a simple and efficient way to calculate bivariate normal probabilities is proposed based on a formula for the partial derivative of the bivariate probability with respect to the correlation coefficient.
Journal ArticleDOI
A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske‐Johnson Approach
David S. Bunch,Herb Johnson +1 more
TL;DR: Geske and Johnson as discussed by the authors developed an equation for the American put price and obtained accurate prices using a method requiring quadrivariate normal integrals evaluated over an interval containing four equally spaced exercise points.
References
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The Numerical Solution of Parabolic and Elliptic Differential Equations
D. W. Peaceman,H. H. Rachford +1 more
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On the numerical solution of heat conduction problems in two and three space variables
Jim Douglas,Henry H. Rachford +1 more
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Boundary value problems for differential equations with deviating arguments
L. J. Grimm,K. Schmitt +1 more
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Solution of real and complex systems of linear equations
TL;DR: In this paper, a non-singular matrix can be factorized in the form A = LU, where L is lower-triangular and U is uppertriangular, and the factorization, when it exists, is unique to within a nonsingular diagonal multiplying factor.