Complete derivation and solution to Black-Scholes PDE

Abstract.

Using references (listed at the bottom of this document) I compiled a meticulously detailed account of derivation of Black-Scholes partial differential equation and complete solution to Black-Scholes PDE for European style Call option. Myron Scholes said in an interview with Bloomberg Radio that he and Fischer Black spent around 6 month to derive this PDE and another 3 years to solve it. Indeed derivation of this PDE including Ito’s Lemma prerequisite takes only 3 pages below, while another 9 pages are taken with the detailed and complete derivation of solution to the derived PDE for a case of European style call option.