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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.