Question
Show that: a) The price of the stock itself, that is when u(t, X t ) = X t , solves the Black-Scholes-Merton partial differential
Show that:
a) The price of the stock itself, that is when u(t, Xt) = Xt , solves the Black-Scholes-Merton partial differential equation;
b) The risk-free interest rate r compounded continuously solves the Black-Scholes PDE, that is when u(t, Xt) = ert
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Fundamentals Of Multinational Finance
Authors: Michael H. Moffett, Arthur I. Stonehill, David K. Eiteman
4th Edition
9780132138079
