Thread: Simplify Statistical Expression

Hello!

I have this formula (gamma from the Black-Scholes model):

I would like to remove the term N', which is the cumulative distribution function of the standard normal distribution, or rather (I think) the derivative of it. Is this possible? If so, how? Thanks for any help!

Will

Hey Will57.

You will have to apply the chain rule to the cumulative distribution function which is going to use something like this result:

Differentiation under the integral sign - Wikipedia, the free encyclopedia