Drezner (1978) algorithm, six decimal places accuracy.
For this implementation see
"Option pricing formulas", E.G. Haug, McGraw-Hill 1998
todo check accuracy of this algorithm and compare with:
1) Drezner, Z, (1978),
Computation of the bivariate normal integral,
Mathematics of Computation 32, pp. 277-279.
2) Drezner, Z. and Wesolowsky, G. O. (1990)
On the Computation of the Bivariate Normal Integral',
Journal of Statistical Computation and Simulation 35,
pp. 101-107.
3) Drezner, Z (1992)
Computation of the Multivariate Normal Integral,
ACM Transactions on Mathematics Software 18, pp. 450-460.
4) Drezner, Z (1994)
Computation of the Trivariate Normal Integral,
Mathematics of Computation 62, pp. 289-294.
5) Genz, A. (1992)Numerical Computation of the Multivariate Normal
Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.
test
the correctness of the returned value is tested by
checking it against known good results.
Cumulative bivariate normal distribution function
Drezner (1978) algorithm, six decimal places accuracy.
For this implementation see "Option pricing formulas", E.G. Haug, McGraw-Hill 1998
todo check accuracy of this algorithm and compare with:
1) Drezner, Z, (1978), Computation of the bivariate normal integral, Mathematics of Computation 32, pp. 277-279. 2) Drezner, Z. and Wesolowsky, G. O. (1990)
On the Computation of the Bivariate Normal Integral', Journal of Statistical Computation and Simulation 35, pp. 101-107. 3) Drezner, Z (1992) Computation of the Multivariate Normal Integral, ACM Transactions on Mathematics Software 18, pp. 450-460. 4) Drezner, Z (1994) Computation of the Trivariate Normal Integral, Mathematics of Computation 62, pp. 289-294. 5) Genz, A. (1992)Numerical Computation of the Multivariate Normal Probabilities', J. Comput. Graph. Stat. 1, pp. 141-150.the correctness of the returned value is tested by checking it against known good results.