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Black-Scholes for scientific computing students

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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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).