How can I use the transformations:
and
and using other transformations analogous to those used in the one-dimensional case.
To show that the two-dimensional Black-Scholes equation can be reduced to the two-dimensional heat equation i.e.
can be reduced to the two-dimensional heat equation i.e.
I am really stuck with it, and don't know how to begin, any help is appreciated.
If any additional details are needed, feel free to ask.