Approximating the Inverse Normal 1.0

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Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the inverse normal.Input: u, a sacalar or matrix with elements between 0 and 1Output: x, an approximation for the inverse normal at uReference:Pau Glasserman, Monte Carlo methods in financial engineering, vol. 53 of applications of Mathematics (New York),Springer-Verlag, new York, 2004, p.67-68

Requirements: No special requirements

Platforms: Matlab

Keyword: Approximation, Carlo, Financial, Glasserman, Methods, Monte, Output, P6768, Reference, Springerverlag

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License: Shareware

Size: 10 KB

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