We know Se ds, = B(a - 5.)dt + ov(s)dw, Let (n.) be a portfolio with value v, -7.B, + & So, where B, = e. We suppose v, takes the form v, -g(, t) and we have: dv, rv,dt-res,dt + Ba - Sedt + es,dw, Derive the PDE of g (St) using Ito's lemma. We know Se ds, = B(a - 5.)dt + ov(s)dw, Let (n.) be a portfolio with value v, -7.B, + & So, where B, = e. We suppose v, takes the form v, -g(, t) and we have: dv, rv,dt-res,dt + Ba - Sedt + es,dw, Derive the PDE of g (St) using Ito's lemma