4.3d Derivative instruments - the mathematics of Black Scholes - PDE solutions 3

This paper covers:

·        Applying the Kolmogorov equations to Black Scholes

·        Implicit representation of the forward Kolmogorov equation

·        The Feynman-Kac stochastic representation theorem

·        An alternative derivation of the Black Scholes PDE

·        Implications for risk-neutral pricing

·        Analytic solutions of the Black Scholes and Black PDEs

·        An example bespoke product

·        Analytic hedging ratios

·        Monte Carlo solutions

This paper has 17 pages and the Excel has 3 sheets