On the computation of the bivariate normal integral

@article{Drezner1990OnTC,
  title={On the computation of the bivariate normal integral},
  author={Zvi Drezner and George O. Wesolowsky},
  journal={Journal of Statistical Computation and Simulation},
  year={1990},
  volume={35},
  pages={101-107}
}
We propose a simple and efficient way to calculate bivariate normal probabilities. The algorithm is based on a formula for the partial derivative of the bivariate probability with respect to the correlation coefficient. 
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The bivariate normal distribution function may be expressed as the product of a marginal normal distribution times a conditional distribution. By approximating this conditional distribution, we…

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