Schroder, Mark - In: Management Science 35 (1989) 7, pp. 823-827
Curnow and Dunnett (Curnow, R. N., C. W. Dunnett. 1962. The numerical evaluation of certain multivariate normal integrals. Ann. Math. Statist. 33 571--579.) derive a reduction formula for multivariate normal integrals with a certain type of correlation matrix. This paper presents a more general...
