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A New Approximation to the Normal Distribution Quantile Function

  • Paul M. Voutier
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    We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2.5 \cdot 10^{-5}$. This is less accurate than [3], but still sufficient for many applications. However it is faster than [3]. This is its primary benefit, which can be crucial to many applications, including in financial markets.

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    File URL: http://arxiv.org/pdf/1002.0567
    File Function: Latest version
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    Paper provided by arXiv.org in its series Papers with number 1002.0567.

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    Date of creation: Feb 2010
    Date of revision: Feb 2010
    Handle: RePEc:arx:papers:1002.0567
    Contact details of provider: Web page: http://arxiv.org/

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