Approximating the Inverse Normal 1.0

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CreatedCreated : Sep 18, 2007
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Applying the inverse transform method to the normal ...

Applying the inverse transform method to the normal distribution entails evaluation of the inverse normal. This is the Beasley-Springer-Moro algorithm for approximating the Inverse Normal by Wolfgang Putschogl.
Input: u, a sacalar or matrix with elements between 0 and 1
Output: x, an approximation for the inverse_normal at u
Reference:
Pau Glasserman, monte Carlo methods in financial engineering, vol. 53 of applications of Mathematics (New york),
Springer-Verlag, new York, 2004, p. 67-68
Demands:
matlab Release: R2006a

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