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April 3rd, 2019, 11:19 AM   #1
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Financial Derivative Pricing

Please could someone help me with this question, I’d be very grateful :-

Suppose that f is a solution of the above Black-Scholes PDE and that f (s,t) = g(s), i.e., Suppose that f may be written as a function of S only. Deduce the general form of f
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April 3rd, 2019, 11:35 PM   #2
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What was the PDE the question referred to?
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April 4th, 2019, 06:41 AM   #3
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It is referring to df/dt + rs*df/ds + (1/2*sigma^2*s^2)*(d^2f/ds^2)-rf=0 i.e. the normal Black-Scholes equation with the process ds=(mu*s)*dt+(sigma*s)*dW.
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