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Company, R., Gonzalez, A.L. and Jodar, L. (2006) Numerical Solution of Modified Black-Scholes Equation Pricing Stock Options with Discrete Dividend. Mathematical and Computer Modeling, 44, 1058-1068.
https://doi.org/10.1016/j.mcm.2006.03.009

has been cited by the following article:

• TITLE: A Study on Numerical Solution of Black-Scholes Model

  AUTHORS: Md. Nurul Anwar, Laek Sazzad Andallah

  KEYWORDS: Black-Scholes Model, Numerical Solution, Approximation, Call Option, Error Estimation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.8 No.2, May 17, 2018

  ABSTRACT: In the history of option pricing, Black-Scholes model is one of the most significant models. In this article, the main concern is the numerical solution of the Black-Scholes model (a.k.a. Black/Scholes/Merton) for the European call option in a different way. The model is described and an explicit difference scheme was used for the numerical approximation. The stability condition of the scheme is established through convex combination. A different way was used to obtain the numerical value of the model. Estimation of the relative error was calculated in L1-norm in order to test the accuracy of the scheme. Finally, a comparison of the numerical outcomes with the value obtained by another scheme is given.