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Computation of the Bi‐Variate Normal Integral

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  • R. R. Sowden
  • J. R. Ashford

Abstract

This paper is concerned with the problem of calculating the bi‐variate normal integral, with particular reference to the need for a procedure suitable for general computer application. Three methods which involve the reduction of the general twofold integral to a form which is effectively a single integral are considered. The methods are compared on the basis of the computing time required for a given accuracy of approximation and it is shown that the most suitable alternative in a given case can be determined mainly upon the basis of the correlation coefficient. A computing procedure involving the use of the most appropriate method of reduction in a particular case is put forward.

Suggested Citation

  • R. R. Sowden & J. R. Ashford, 1969. "Computation of the Bi‐Variate Normal Integral," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 18(2), pages 169-180, June.
    • Handle: RePEc:bla:jorssc:v:18:y:1969:i:2:p:169-180
    DOI: 10.2307/2346258
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    1. repec:jss:jstsof:05:i05 is not listed on IDEAS
    2. Pasricha, Puneet & He, Xin-Jiang, 2022. "Skew-Brownian motion and pricing European exchange options," International Review of Financial Analysis, Elsevier, vol. 82(C).

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