Gaussian distribution

[d.koutsomito]

Hello there,

I am looking for efficient numerical integration methods for approximating the integral of a gaussian density. I am aware of the Newton-Cotes method but I am researching in order to find other methods which produce better approximations.

Any ideas?

Thank you in advance.

 

[Daniel Duffy]

This might be worth a look
http://www.johndcook.com/double_exponential_integration.html

Can't remember if I did it for n(x) but it is nice.

You might find some nuggets in this mega-discussion

http://www.wilmott.com/messageview.cfm?catid=34&threadid=94965&FTVAR_MSGDBTABLE=