Im convinced for the question on the 'square power call' or whatever it was called, all you needed to do was provide a proof of the standard Black Scholes PDE and cite the slightly different boundary conditions. At the end of the day the BS PDE is for a general derivative. Although I do remember a bit at the start for 3 marks based on the SDEs for securities f and g that I couldnt do to the extent I assumed there was a misprint in the question. I think for the bit on 'altering your answer' or however they phrased it, all you needed to do was describe how the PDE would change, not the GK equations.
Last edited by a moderator: Sep 11, 2006