[R-SIG-Finance] Cumulative Multivariate Normal Distribution

[davidr at rhotrading.com]

Espen Haug has code for a trivariate cum norm in his second edition, p.
482, section 13.4, due to Alan Genz.
(You also need cor_23)
HTH,

David L. Reiner, PhD
Head Quant
Rho Trading Securities, LLC

-----Original Message-----
From: r-sig-finance-bounces at stat.math.ethz.ch
[mailto:r-sig-finance-bounces at stat.math.ethz.ch] On Behalf Of Chiquoine,
Ben
Sent: Friday, September 19, 2008 1:18 PM
To: r-sig-finance
Subject: [R-SIG-Finance] Cumulative Multivariate Normal Distribution

Hi,

 

Does anyone know of a function similar to the CBND function for
multivariate distributions?  I've seen a couple but what I am really
looking for is one that will take (x1,x2,x3,cor112,cor113) as inputs.
Alternatively, does anyone know of a package with built in functions for
pricing a worst of three color rainbow options?  Any help along these
lines would be greatly appreciated.  

 

Thanks,


Ben


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