A series representation for the Black-Scholes formula
Pricing of Securities
2017-11-02 v2
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.
Cite
@article{arxiv.1710.01141,
title = {A series representation for the Black-Scholes formula},
author = {Jean-Philippe Aguilar},
journal= {arXiv preprint arXiv:1710.01141},
year = {2017}
}
Comments
v1-2, 13 pages, some details added. arXiv admin note: text overlap with arXiv:1609.00987