4.3b Derivative instruments - the mathematics of Black Scholes - PDE solutions 1

This paper covers:

·        Economic derivation of the Black Scholes PDE

·        The case of a liquid traded underlying instrument

·        A self-financing hedge portfolio

·        The case where the underlying is not traded

·        The market price of risk

·        Black’s PDE

·        Solving these PDEs

The paper has 13 pages