ctnd

4 באוק׳ 2022

Library "ctnd"

Description:
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, Valuation formulae
or window barrier options”, Applied Mathematical Finance, 8, 2001.

References:
https://link.springer.com/article/10.1023/B:STCO.0000035304.20635.31
https://www.tandfonline.com/doi/abs/10.1080/13504860210124607
https://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.353.1954&rep=rep1&type=pdf
The Complete Guide to Option Pricing Formulas, 2nd ed. (Espen Gaarder Haug)

CTND(LIMIT1, LIMIT2, LIMIT3, SIGMA1, SIGMA2, SIGMA3)
  Returns the Cumulative Trivariate Normal Distribution
  Parameters:
    LIMIT1: float,
    LIMIT2: float,
    LIMIT3: float,
    SIGMA1: float,
    SIGMA2: float,
    SIGMA3: float,
  Returns: float.