Density Function for European Options

[Alexei]

Just to confirm calculations, what would be the density function for a Euro Call/Put in the following case:

Thanks

 

[Huan Dao]

you need to perform change of variable of the underlying stock price to Brownian motion W(t), then from W(t) to standard normal variable Z(0,1), W(t) ~ sqrt(t)Z(0,1)

 

[Alexei]

I need the final result to compare answers.