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P. Wilmott, J. Dewynne and S. Howison, “The Mathematics of Financial Derivatives: A Student Introduction,” Cambridge University Press, Cambridge, 1997.

has been cited by the following article:

• TITLE: The Operator Splitting Method for Black-Scholes Equation

  AUTHORS: Yassir Daoud, Turgut Öziş

  KEYWORDS: Operator Splitting Method, Black-Scholes Equation, European Option Pricing

  JOURNAL NAME: Applied Mathematics, Vol.2 No.6, June 22, 2011

  ABSTRACT: The Operator Splitting method is applied to differential equations occurring as mathematical models in financial models. This paper provides various operator splitting methods to obtain an effective and accurate solution to the Black-Scholes equation with appropriate boundary conditions for a European option pricing problem. Finally brief comparisons of option prices are given by different models.