Let stock price $S$ satisfy


I want to calculate the Martingale representation $V(t)=E(F|F_t)$ of European option with strike price $M$ and maturity $T$ which is given by


How to find the solution and the Black-Scholes PDE?



Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge that you have read and understand our privacy policy and code of conduct.