A series representation for the Black-Scholes formula

2017/10/03 by Aguilar, Jean-Philippe
#32A20 #91G20 #FOS: Economics and business #Pricing of Securities (q-fin.PR)

paper · doi:10.48550/arxiv.1710.01141

Abstract

We prove and test an efficient series representation for the European Black-Scholes call, which generalizes and refines previously known approximations, and works in every market configuration.

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