March 2022

Calculation of a class of Gaussian integrals: Derivation of payoff at expiry for European option

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...

Author(s): Joy Ijeoma Adindu-Dick