Show how the Black Scholes PDE with final condition V(S,T) V T (S) can be transformed into the initial condition The exercise is more to convince you that the Black Scholes PDE is a standard diffusion ) t rs V as 1 2 S2 V 2 2...

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Show how the Black-Scholes PDE with final condition V(S,T) V T (S) can be transformed into

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Show how the Black-Scholes PDE t +rs@V+ as 1 2 S2 = V - 2 2 with final condition V(S,T) — V_T(S) can be transformed into du T = agri a typical diffusion equation with initial condition u(x, 0) = u(x), where u(x, T) u(log S, Tt).

the initial condition. The exercise is more to convince you that the Black-Scholes PDE is a standard diffusion.)

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 23, 2023 05:35 AM

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Show how the Black-Scholes PDE with final condition V(S,T) V T (S) can be transformed into

Question:

ᎧᏙ Ət +rs@V+ as 1 ᎧᏙ 2 S2 = V - 2 ᎧᏚ2

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Market Practice In Financial Modelling

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