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Black-Scholes option valuation for scientific computing students

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 [Report] (Unpublished)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.