In this note it is shown that P(η - ξ > 0) can easily be calculated using tables of the bivariate normal distribution, where ξ, η are independent, ξ has a normal distribution, and η has a truncated ...
A Monte Carlo study of confidence limits for the slope of the major axis of a bivariate normal distribution confirms that, when imaginary limits are interpreted as corresponding to an infinite ...
Pricing compound and min–max options requires approximation of the bivariate normal probability. We compare the performance of five analytical approximation methods for bivariate normal probabilities ...
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