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Lai, Yongzeng
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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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