Emamirad, H., Goldstein, G.R. and Goldstein, J.A. (2012) Chaotic Solution for the Black-Scholes Equation. Proceedings of American Mathematical Society, 140, 2043-2052.
http://dx.doi.org/10.1090/S0002-9939-2011-11069-4

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.