We present a closed pricing formula for European options under the Black Scholes model and formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and by expressing the spatial derivatives as expectations under special measures, as in Carr,...

We present a closed pricing formula for European options under the Black-Scholes model and formulas for its partial derivatives. The formulas are developed making use of Taylor series expansions and by expressing the spatial derivatives as expectations under special measures, as in Carr,...