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4:43 AM

question: site is for academics and practitioners. what about masters students or phds?

@Neil Yes, grad students are more than welcome.

We just hope to keep the material within the realm of quantitative finance as either an MFE would study it, or a traditional PhD would approach at a bank / hedge fund.

11 hours later…

Shane

3:44 PM

Morning!

4 hours later…

Shane

7:48 PM

@AndreyRekalo Nice job on your answer.

Q: Transformation from Black Scholes differential equation to diffusion equation - and back

I know the derivation of the Black Scholes differential equation and I understand (most) of the solution of the diffusion equation. What I am missing is the transformation from the Black Scholes differential equation to the diffusion equation (with all the conditions) and back to the original pro...