Assuming that the stock price satisfies equation (20.20), verify that Ker(Tt) + S(t)e(Tt) satisfies the Black-Scholes equation,

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Assuming that the stock price satisfies equation (20.20), verify that Ke−r(T−t) + S(t)e−δ(T−t) satisfies the Black-Scholes equation, where K is a constant. What is the boundary condition for which this is a solution?
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Derivatives Markets

ISBN: 9789332536746

3rd Edition

Authors: Robert McDonald

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