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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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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, Engineering(all), Computer Science(all)
Subjects: Science > Mathematics > Electronic computers. Computer science
Science > Mathematics
Department: Faculty of Science > Mathematics and Statistics
Depositing user: Ms Sarah Scott
Date Deposited: 21 Feb 2006
Last modified: 20 Oct 2015 19:33

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