Abstract
This chapter collects (and derives) closed form formulae for integrals related to Brownian motion for reference elsewhere in the book. It includes Black-Scholes and Bachelier formulae, as well as a range of barrier products.
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© 2016 Oliver Brockhaus
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Brockhaus, O. (2016). Gauss. In: Equity Derivatives and Hybrids. Applied Quantitative Finance series. Palgrave Macmillan, London. https://doi.org/10.1057/9781137349491_18
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DOI: https://doi.org/10.1057/9781137349491_18
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-1-349-55987-9
Online ISBN: 978-1-137-34949-1
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