+ rs- Os as2 (b) Verify that f(s, t) = e(21+30)(T-1)* is a solution of the Black-Scholes partial differential equation af af at as + 20's? =rf. Consider a derivative with underlying asset whose price S, follows the It process dS = Sedt +oSDW and which provides a single payoff at time T > 0) in the amount of S, where Sr is the underlying asset price at time T. What is the price of this derivative at time t (0,T)? (You may use results in the notes.) + rs- Os as2 (b) Verify that f(s, t) = e(21+30)(T-1)* is a solution of the Black-Scholes partial differential equation af af at as + 20's? =rf. Consider a derivative with underlying asset whose price S, follows the It process dS = Sedt +oSDW and which provides a single payoff at time T > 0) in the amount of S, where Sr is the underlying asset price at time T. What is the price of this derivative at time t (0,T)? (You may use results in the notes.)