多维正态分布函数的表示

Expressions of Multi-dimensional Normal Distribution Function

在许多金融问题的研究中,如金融衍生产品定价、金融风险度量与管理等领域,经常用到多维正态分布函数.在概率论与数理统计文献中只给出了一维标准正态分布表,而多维正态分布函数的计算问题没有给出具体的算法.本文给出了多维正态分布函数与一维标准正态分布函数的关系式,从而解决了多维正态分布函数的计算问题.

In many researches of the financial problems,such as derivative securities pricing theory,financial risk measure and management and so on,multi-dimensional normal distribution functions are often used.But in the references of Probability and Statistics,the only one-dimensional standard normal distribution table was given and there＇s no specific algorithm about multi-dimensional normal distribution functions.In this paper,the relational expression between multi-dimensional normal distribution function and one-dimensional standard normal distribution function was given.Thus the computational problems about multi-dimensional normal distribution function can be solved.