Show that: a) The price of the stock itself, that is when u(t, X1) = X1, solves the Black-Scholes-Merton partial differential equation;

Calculus For The Life Sciences
2nd Edition
ISBN:9780321964038
Author:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Publisher:GREENWELL, Raymond N., RITCHEY, Nathan P., Lial, Margaret L.
Chapter11: Differential Equations
Section11.CR: Chapter 11 Review
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Show that:
a) The price of the stock itself, that is when u(t, X1) = X1, solves the Black-Scholes-Merton
partial differential equation;
Transcribed Image Text:Show that: a) The price of the stock itself, that is when u(t, X1) = X1, solves the Black-Scholes-Merton partial differential equation;
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