Suppose that a derivative claim makes continuous payments at the rate. Show that the Black-Scholes equation becomes

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Derivatives Markets

ISBN: 978-0321543080

4th edition

Authors: Rober L. Macdonald

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Question Posted: Dec 18, 2015 05:15 AM

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Suppose that a derivative claim makes continuous payments at the rate _. Show that the Black-Scholes equation becomes V, +o's Vss + (r 8)SVs +r -rV = 0
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Suppose that a derivative claim makes continuous payments at the rate. Show that the Black-Scholes equation becomes

Question:

s'Vss + (r - 8)sVs +r -rV = 0 V, +

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If we purchase one unit of the claim V S shares and ...View the full answer

Derivatives Markets

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