Appendix 1
Partial Derivatives in the Option Price Equation by Galaï and Masulis (1976)

[A1.1]

[A1.2]

[A1.3]

[A1.4]

[A1.5]

[A1.6]

with:

where Z(d₁) is the density of the standard distribution in d₁.

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Table of Contents for Appendix 1: Partial Derivatives in the Option Price Equation by Galaï and Masulis (1976)