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arXiv · 1002.0567

A New Approximation to the Normal Distribution Quantile Function

Paul M. Voutier
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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.

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Paul M. Voutier. 2010-02-03. A New Approximation to the Normal Distribution Quantile Function. https://arxiv.org/abs/1002.0567

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