I get this error when trying to compute this differential equation:
NDSolve::delpde: Delay partial differential equations are not currently supported by NDSolve.
Here is my code
(* *)
S0 = 10;(*sport price of the underlying (share)*)
T = 1; (*time \
to maturity , 1 year*)
sigma = 0.3; (*volatility, 30 percent*)
r = \
0.05;(*5 percent risk free rate*)
K = 10 (*10 dollars, we would \
exercise the option if the sport price of the underlying is above \
zero at the maturity *)
(*setting up the partial differenial equation*)
sol =
NDSolve[{D[V[S, t], t] + r*S*D[V[S, t], S] +
0.5*sigma*sigma*S*S*D[V[S, t], {S, 2}] - r*V[s, t] == 0,
V[S, T] == Max[S - K, 0], V[1000, t] == 1000, V[0, t] == 0},
V, {S, 0.1, 1000}, {t, 0, T}]
````