Lecture 3 Pseudo-random number generation
Lecture 3 Pseudo-random number generation
Lecture 3 Pseudo-random number generation
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Beasley-Springer-Moro algorithm for normal variate uses<br />
inversion of the distribution function with high accuracy<br />
(3 × 10 −9 ).<br />
In interval 0.5 ≤ y ≤ 0.92 the algorithm uses the formula<br />
F −1 (y) ≈<br />
and for y ≥ 0.92 the formula<br />
F −1 (y) ≈<br />
� 3<br />
n=0 an(y − 0.5) 2n+1<br />
1 + � 3<br />
n=0 bn(y − 0.5) 2n,<br />
8�<br />
n=0<br />
cn<br />
�<br />
log � − log(1 − y) �� n<br />
.<br />
Computational Finance – p. 22
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