Show how the Black-Scholes PDE with final condition V(S,T) V T (S) can be transformed into
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Show how the Black-Scholes PDE with final condition V(S,T) — VT(S) can be transformed into
the initial condition. The exercise is more to convince you that the Black-Scholes PDE is a standard diffusion.)
Transcribed Image Text:
ᎧᏙ Ət +rs@V+ as 1 ᎧᏙ 2 S2 = V - 2 ᎧᏚ2
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