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  Lai, Yongzeng Add to Alert Profile  
 
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  Efficient computations of multivariate normal distributions with applications to finance
Lai Y.  Modelling and simulation (Proceedings of the 17th IASTED International Conference on Modelling and Simulation, Montreal, Canada, May 24-26, 2006) 522-527, 2006.  Type: Proceedings

Lai presents a significant simulation of multivariate normal distribution. All of the bivariate distributions can be converted into one-dimensional integrals, and most cases of the trivariate normal distributions can be converted into ...
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Dec 6 2006  

   
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