Verify that S(t)e(Tt)N(d1) satisfies the Black-Scholes equation. Discuss.

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Verify that S(t)e−δ(T−t)N(d1) satisfies the Black-Scholes equation. Discuss.

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:15 AM

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Verify that S(t)e(Tt)N(d1) satisfies the Black-Scholes equation. Discuss.

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Let V Se T t N d 1 Note that d 1 depends on both S and t We have hence ...View the full answer

Derivatives Markets

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