Goldstein, J.A., Mininni, R.M. and Romanelli, S. (2008) A New Explicit Formula for the Solution of the Balck-Merton-Scholes Equation. In: Sengupta, A. and Sundar, P., Eds., Infinite Dimensional Stochastic Analysis, World Scientific, Singapore, 226-235.
http://dx.doi.org/10.1142/9789812779557_0013

has been cited by the following article:

• TITLE: An Accurate Numerical Integrator for the Solution of Black Scholes Financial Model Equation

  AUTHORS: Iyakino P. Akpan, Johnson O. Fatokun

  KEYWORDS: Black Scholes Equation, Partial Differential Equations (PDEs), Method of Lines (MOL), L-Stable Trapezoidal-Like Integrator

  JOURNAL NAME: American Journal of Computational Mathematics, Vol.5 No.3, September 2, 2015

  ABSTRACT: In this paper the Black Scholes differential equation is transformed into a parabolic heat equation by appropriate change in variables. The transformed equation is semi-discretized by the Method of Lines (MOL). The evolving system of ordinary differential equations (ODEs) is integrated numerically by an L-stable trapezoidal-like integrator. Results show accuracy of relative maximum error of order 10–10.