Full Length Research Paper
Abstract
This work deals with the calculation of a class of Gaussian integral of the form 
where 
Completing the squares of the exponential and changing variables led to the solution 
where 
denotes the cumulative standard normal distribution function. An equation which corresponds to pay-off at expiry for European option was derived.
Key words: Gaussian integral, Euler-Poisson integral, multivariable calculus, Gaussian function, European option.
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