Rectangular and wedge-shaped multivariate normal probabilities

This paper demonstrates an easy way to obtain a substantial gain in precisi on in the popular GHK simulator, and the RIS simulator that extends it, of multivariate normal probabilities. On average, this gain translates into a 40% saving in computational time. It is also shown that the simulator can b e used to compute probabilities over wedge-shaped areas. In this case, the RIS simulator based on the legit distribution has a substantial advantage o ver the GHK simulator. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: C15; C40.