Hint 1: Show that, if f(S,t) is a pde soln, then so is (S/H)^a f(H^2/S,t). Here H is an arbitrary constant and I will let you determine 'a'.Hint 2: How does f(S,t) - (S/H)^a f(H^2/S,t) behave at S = H? Hint 3: Suppose f(S,t) is the pde soln with the payoff 1(S<H), but no KO condition prior to maturity.
Last edited by Alan
on August 9th, 2011, 10:00 pm, edited 1 time in total.