Exact solution of a generalized version of the Black-Scholes equation
  We analyze a generalized version of the Black-Scholes equation depending on a parameter $a\!\in \!(-\infty,0)$. It satisfies the martingale condition and coincides with the Black-Scholes equation in the limit case $a\nearrow 0$. We show that the generalized equation is exactly solvable in terms of Hermite polynomials and numerically compare its solution with the solution of the Black-Scholes equation. 
Liviu-Adrian Cotfas, Camelia Delcea, Nicolae Cotfas
q-fin.CP