On expansions for the Black-Scholes prices and hedge parameters
Pricing of Securities
2019-06-07 v4
Abstract
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known approximations. We also provide precise boundaries for the convergence speed and apply the results to the calculation of hedge parameters (Greeks).
Keywords
Cite
@article{arxiv.1809.06736,
title = {On expansions for the Black-Scholes prices and hedge parameters},
author = {Jean-Philippe Aguilar},
journal= {arXiv preprint arXiv:1809.06736},
year = {2019}
}
Comments
v4 (Some typos corrected + adding the DOI). To appear in Journal of Mathematical Analysis and Applications. arXiv admin note: text overlap with arXiv:1710.01141