Verify that er(Tt) N(d2) satisfies the Black-Scholes equation.

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Verify that e−r(T−t) N(d2) satisfies the Black-Scholes equation.

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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 er(Tt) N(d2) satisfies the Black-Scholes equation.

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Let V S t e r T t N d 2 we must show V solves the PDE V t r SV S S 2 2 V SS 2 rV Note that dep...View the full answer

Derivatives Markets

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