Question: Problem 2. (30 pts) Consider the Black Scholes model (1). a)Write the dynamics of the wealth of a portfolio that invests At shares of St

Problem 2. (30 pts) Consider the Black Scholes model (1). a)Write

Problem 2. (30 pts) Consider the Black Scholes model (1). a)Write the dynamics of the wealth of a portfolio that invests At shares of St at time t. b)Consider a T claim (ST). Let V4 = v(t, St) be the price of the claim at time t. Using a replication argument, derive a PDE for the function vt,s). Problem 2. (30 pts) Consider the Black Scholes model (1). a)Write the dynamics of the wealth of a portfolio that invests At shares of St at time t. b)Consider a T claim (ST). Let V4 = v(t, St) be the price of the claim at time t. Using a replication argument, derive a PDE for the function vt,s)

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