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A series representation for the Black-Scholes formula

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  • Jean-Philippe Aguilar

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.

Suggested Citation

  • Jean-Philippe Aguilar, 2017. "A series representation for the Black-Scholes formula," Papers 1710.01141, arXiv.org, revised Oct 2017.
    • Handle: RePEc:arx:papers:1710.01141
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    References listed on IDEAS

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    1. Kleinert, H. & Korbel, J., 2016. "Option pricing beyond Black–Scholes based on double-fractional diffusion," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 449(C), pages 200-214.
    2. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    3. Hagen Kleinert & Jan Korbel, 2015. "Option Pricing Beyond Black-Scholes Based on Double-Fractional Diffusion," Papers 1503.05655, arXiv.org, revised Mar 2016.
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    Cited by:

    1. Xavier Calmet & Nathaniel Wiesendanger Shaw, 2019. "An analytical perturbative solution to the Merton Garman model using symmetries," Papers 1909.01413, arXiv.org, revised Jan 2021.
    2. Jean-Philippe Aguilar & Cyril Coste & Jan Korbel, 2017. "Series representation of the pricing formula for the European option driven by space-time fractional diffusion," Papers 1712.04990, arXiv.org, revised Oct 2018.

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