2. Verify that ASae t satisfies the Black-Scholes PDE for a = 1 2 r ...

Question:

2. Verify that ASaeγ t satisfies the Black-Scholes PDE for a =

1 2

− r − δ

σ2

r − δ

σ2

− 1 2

+ 2(r − γ )

σ2

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