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 (https://doi.org/10.1109/MCSE.2004.62)

[thumbnail of strathprints000162]
Preview
 Text. Filename: strathprints000162.pdf
Accepted Author Manuscript
Download (288kB)| Preview

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).

ORCID iDs

Higham, D.J. ORCID logoORCID: https://orcid.org/0000-0002-6635-3461;
CORE (COnnecting REpositories)