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: 9789332536746

3rd Edition

Authors: Robert McDonald

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Question Posted: Aug 12, 2015 02:53 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 ...View the full answer

Derivatives Markets

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