Heat Equation: U_t = au_xx

2 - Let N(d) = JZ ) sace-dz. Using the formula for the solution of the heat equation in (i), express the price of the call option V in terms of N. The price of an option obtained this way is called the Black-Scholes formula. You will need to complete the square in the exponential and make a substitution. a 2 - Let N(d) = JZ ) sace-dz. Using the formula for the solution of the heat equation in (i), express the price of the call option V in terms of N. The price of an option obtained this way is called the Black-Scholes formula. You will need to complete the square in the exponential and make a substitution. a