An alternative approach to solving the Black-Scholes equation with time-varying parameters (Q2488725)

The authors examine solvability of a terminal problem of a linear time-depending parabolic equation with inverse direction of time describing an option pricing process (the so-called Black-Scholes equation). The main result is the formula of a solution to this problem expressed in terms of the classical Black-Scholes solution to the terminal problem for the time-independent equation.