A series representation for the Black-Scholes formula

Jean-Philippe Aguilar

Papers from arXiv.org

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.

Date: 2017-10, Revised 2017-10
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1710.01141

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