Ankudinova, J. and Ehrhardt, M. (2007) On the Numerical Solution of Nonlinear Black Scholes Equations.
http://www-amna.math.uni-wuppertal.de/~ehrhardt/papers/nonlinearBS

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.