Bivariate Normal Distribution Calculator: N(x,y,rho)

x =
y =
rho =

Note: the extreme values for 'rho' of 1 and -1 cannot be included

References

R. Brooks, Building Financial Derivatives Applications with C++, Quorum Books (2000).

Z. Drezner. Computation of the Bivariate Normal Integral, Mathematics of Computation, 32 (January 1978), 277-79.

John Hull. Options, Futures and Other Derivatives, 6th edition, Prentice Hall (2005)

Alan Stuart and J. Keith Orr, Kendall's Advanced Theory of Statistics, 5th Edition, Volume 1 Distribution Theory, page 185.

Chronology

Date || Version || Author.

3/28/07 || 1.0 || Razvan Pascalau