A New Approximation to the Normal Distribution Quantile Function
Computation
2010-02-03 v2 Numerical Analysis
Statistics Theory
Computational Finance
Statistics Theory
Abstract
We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than . This is less accurate than [3], but still sufficient for many applications. However it is faster than [3]. This is its primary benefit, which can be crucial to many applications, including in financial markets.
Cite
@article{arxiv.1002.0567,
title = {A New Approximation to the Normal Distribution Quantile Function},
author = {Paul M. Voutier},
journal= {arXiv preprint arXiv:1002.0567},
year = {2010}
}
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