# What is the easiest way to learn Option pricing with PDE?

I was reading about Ito's formula and Girsanov theorem, but I am still struggling to grasp how in reality these are combined to compute the price of an option. What are the main source to understand this topic in a very practical manner?

1. Use Girsanov theorem to go from the real-world measure to the risk-neutral measure (basically subtract the market price of risk $$\mathrm dW^Q_t = \mathrm d W^P_t - \frac{\mu -r}{\sigma} \mathrm dt$$). This will change your SDE.
2. Discounted option price $$e ^{-rt} v(t, S_t)$$ has to be a martingale in the risk-neutral world. Hence use the Ito's formula to calculate the differential $$\mathrm d (e ^{-rt} v(t, S_t))$$ and set the drift term to zero, which will give you the PDE that your option price must satisfy.