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Appendix

  • Rudi Zagst
Part of the Springer Finance book series (FINANCE)

Abstract

The standard normal distribution function can be inverted using the function where N (x) denotes the value of the standard normal distribution function at point x. Following Abramowitz and Stegun [AS65], the inverse Q−1 (y) of Q at point y ∈ (0, 1/2], i.e. that x ∈ ℝ with Q (x) = y, can be approximated by with and an approximation error of less than 4.5. 10−4. Hence, the inverse N −1 of the standard normal distribution is given by

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Copyright information

© Springer-Verlag Berlin Heidelberg 2002

Authors and Affiliations

  • Rudi Zagst
    • 1
    • 2
  1. 1.RiskLab GmbHMünchenGermany
  2. 2.Zentrum MathematikTechnische Universität MünchenMünchenGermany

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