Question: Write down a PDE and final time/boundary conditions for the value of a butterfly spread, as described in Exercise 1.3 ( 1.3 . Suppose that

Write down a PDE and final time/boundary conditions for the value

of a butterfly spread, as described in Exercise 1.3 (1.3. Suppose that for the same asset and expiry date, you hold a European call option with exercise price E1 and another with exercise price E3, where E3 > E1 and also write two calls with exercise price E2 := (E1 + E3)/2. This is an example of a butterfly spread.)

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