Higham, Desmond J. (2004) *Black-Scholes option valuation for scientific computing students.* [Report] (Unpublished)

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## Abstract

Mathematical finance forms a modern, attractive source of examples and case studies for classes in scientific computation. I will show here how the Nobel Prize winning Black-Scholes option valuation theory can be used to motivate exercises in Monte Carlo simulation, matrix computation and numerical methods for partial differential equations.

Item type: | Report |
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ID code: | 57 |

Notes: | This manuscript appears as University of Strathclyde Mathematics Research Report 01 (2004). A revised version will appear in the Education Section of Computing in Science and Engineering, 2004. The author was supported by a Research Fellowship from The Leverhulme Trust. |

Keywords: | Mathematical finance, scientific computation, Black-Scholes option valuation theory, Monte Carlo simulation, matrix computation, 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: | Mr Derek Boyle |

Date Deposited: | 10 Feb 2006 |

Last modified: | 26 Apr 2014 01:47 |

URI: | http://strathprints.strath.ac.uk/id/eprint/57 |

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