G(s) = ,
a and b being positive numbers. Show:
N(z) = .
2) We know that the solution of the final value problem
, 0 ≤ S, 0 ≤ t ≤ T,
0 ≤ S
G(S',T;S,t) = ,
Using this result and the result in 1), show that the price of a put option is given by:
Partial differential equations and PDFs are investigated.