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Math Help - Simplify Statistical Expression

  1. #1
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    Simplify Statistical Expression

    Hello!

    I have this formula (gamma from the Black-Scholes model):
    Simplify Statistical Expression-gamma.png
    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
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  2. #2
    MHF Contributor
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    Re: Simplify Statistical Expression

    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
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