CAJ | 학술논문

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.
재허다금융문제적연구중,여금융연생산품정개、금융풍험도량여관리등영역,경상용도다유정태분포함수.재개솔론여수리통계문헌중지급출료일유표준정태분포표,이다유정태분포함수적계산문제몰유급출구체적산법.본문급출료다유정태분포함수여일유표준정태분포함수적관계식,종이해결료다유정태분포함수적계산문제.
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.