An inverse normal distribution is a way to work backwards
from a known probability to find an x-value. It is an informal term and
doesn't refer to a particular probability distribution. Returns the
value of the inverse normal distribution function for a specified value,
mean, and standard deviation.
Returns the inverse of the standard normal cumulative distribution.
The distribution has a mean of zero and a standard deviation of one; i.e.,
normsinv seeks that value z such that a normal distribtuion of mean of zero
and standard deviation one is equal to the input probability.
This function returns the inverse of cumulative normal distribution function
The Full Monte, by Boris Moro, Union Bank of Switzerland . RISK 1995(2)
Returns the inverse of cumulative normal distribution function
U : float,
Double precision algorithm to compute the cumulative trivariate normal distribution
found in A.Genz, Numerical computation of rectangular bivariate and trivariate normal
and t probabilities”, Statistics and Computing, 14, (3), 2004. The cumulative trivariate
normal is needed to price window barrier options, see G.F. Armstrong,...
Cumulative Normal Distribution
Returns the Cumulative Normal Distribution (CND) using the Hart (1968) method. (preferred method, 14-18 decimal accuracy)
x : float,
Returns the Cumulative Normal Distribution (CND) using the Abromowitz and Stegun (1974) Polynomial...