Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
A series expansion for the bivariate normal integral
Oldrich Alfons Vasicek
Abstract
ABSTRACT
An infinite series expansion is given for the bivariate normal cumulative distribution function. This expansion converges as a series of powers of 1 - p2, where p is the correlation coefficient, and thus represents a good alternative to the tetrachoric series when ñ is large in absolute value.
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