Black-Scholes option valuation for scientific computing students

Higham, Desmond J. (2004) Black-Scholes option valuation for scientific computing students. University of Strathclyde, Glasgow, UK. (Unpublished)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.

ORCID iDs

Higham, Desmond J. ORCID: https://orcid.org/0000-0002-6635-3461

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  Item type:	Report
  ID code:	57
  Dates:	Date Event January 2004 Published
  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.
  Subjects:	Science > Mathematics > Electronic computers. Computer science Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Mr Derek Boyle
  Date deposited:	10 Feb 2006
  Last modified:	11 Nov 2024 15:37
  URI:	https://strathprints.strath.ac.uk/id/eprint/57