Journal of Computational Finance

A series expansion for the bivariate normal integral

Oldrich Alfons Vasicek


An infinite series expansion is given for the bivariate normal cumulative distribution function. This expansion converges as a series of powers of 1 - p2, where p is the correlation coefficient, and thus represents a good alternative to the tetrachoric series when ñ is large in absolute value.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here