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Can someone provide me with details or a reference on how to transform the Black-Scholes PDE with nonconstant coefficients (i.e. $r=r\left(S,t\right)$, $\sigma=\sigma\left(S,t\right)$) to the heat equation? Thank you in advance.

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This question was answered on math.stackexchange.com: math.stackexchange.com/questions/417979/… – user1157 Jan 10 '14 at 10:40

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