For a derivative V(X T ) on an underlying X T as seen at time T, its

Question:

For a derivative V(X_T) on an underlying X_T as seen at time T, its value is given by V(X_t) = e ^–r^{(T– t)}E[V(X_T)] = e ^–r^{(T– t)}∫^∞_–∞V(x)p(x)dx, where p(•) is the probability density function. By differentiating V(X_t) with respect to t, applying Ito’s Lemma on V (X_T) and changing the order of integration, derive the Fokker-Planck equation.