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 [Report] (Unpublished)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 |
|---|---|
| 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: | 17 Mar 2012 12:55 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/57 |
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