| Article ID: | iaor1989210 |
| Country: | United States |
| Volume: | 35 |
| Issue: | 7 |
| Start Page Number: | 823 |
| End Page Number: | 827 |
| Publication Date: | Jul 1989 |
| Journal: | Management Science |
| Authors: | Schroder Mark |
| Keywords: | financial, statistics: multivariate |
Curnow and Dunnett have derived a reduction formula for multivariate normal integrals with a certain type of correlation matrix. This paper presents a more general reduction formula which can reduce substantially the computational cost of high dimension integrals. This method has a number of applications in option pricing theory in finance.