Higham, D.J. (2004) Black-Scholes for scientific computing students. Computing in Science and Engineering, 6 (6). pp. 72-79. ISSN 1521-9615
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Official URL: http://dx.doi.org/10.1109/MCSE.2004.62
Abstract
Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).
| Item type: | Article |
|---|---|
| ID code: | 162 |
| Keywords: | numerical analysis, Monte Carlo methods, finite difference methods, partial differential equations, financial data processing, binomial distribution, educational computing, Electronic computers. Computer science, Mathematics |
| Subjects: | Science > Mathematics > Electronic computers. Computer science Science > Mathematics |
| Department: | Faculty of Science > Mathematics and Statistics |
| Related URLs: | |
| Depositing user: | Ms Sarah Scott |
| Date Deposited: | 21 Feb 2006 |
| Last modified: | 05 Oct 2012 10:17 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/162 |
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