Snippets created by Bram Jochems

  • Cumulative bivariate normal distribution

    Cumulative bivariate normal distribution in F#. I implemented this using both the code given in Haug's complete guide to option pricing formulae book (which in turn credits his version to Graeme West who in term adapted code from Alan Genz) and using the code available on Alan Genz' website. This code requires the availability of another function called cnd which implements the (univariate) cumulative normal distribution. I haven't included my code there, since that's readily available in .NET from various sources (e.g. Math.NET, alglib, ...)

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    Posted: 3 years ago by Bram Jochems