Trapped by the Tails of the Bivariate Normal Distribution

Fabien Le Floc'h; Hector Ciruelos; Alexander Pruell

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SSRN Electronic Journal

Article . 2013 . Peer-reviewed

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https://dx.doi.org/10.2139/ssr...

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Trapped by the Tails of the Bivariate Normal Distribution

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2013 English Publisher:Elsevier BVJournal:SSRN Electronic Journal (eissn: 1556-5068,

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Authors: Fabien Le Floc'h; Hector Ciruelos; Alexander Pruell;

doi: 10.2139/ssrn.2317798

Trapped by the Tails of the Bivariate Normal Distribution

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Abstract

Through the example of partial barrier options, we show that accuracy in the tail of the bivariate normal distribution is critical. We then propose a small change to a popular algorithm for the bivariate normal distribution in order to increase its accuracy.

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