April 3rd, 2019, 11:19 AM  #1 
Newbie Joined: Apr 2019 From: Uk Posts: 2 Thanks: 0  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 BlackScholes 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 
April 3rd, 2019, 11:35 PM  #2 
Global Moderator Joined: Dec 2006 Posts: 20,485 Thanks: 2041 
What was the PDE the question referred to?

April 4th, 2019, 06:41 AM  #3 
Newbie Joined: Apr 2019 From: Uk Posts: 2 Thanks: 0 
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 BlackScholes equation with the process ds=(mu*s)*dt+(sigma*s)*dW. 

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derivative, financial, pricing 
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