Year: 2010
Type: preprint
Abstract: We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2.5 \cdot 10^{-5}$. This is less accurate than [3], but still sufficient for many applications. However it is faster than [3]. This is its primary benefit, which can be crucial to many applications, including in financial markets.
Author: Voutier, Paul M.
Language: English
Subfield: Applied Mathematics
Field: Mathematics
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W1675379301