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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 [Report] (Unpublished)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.

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
Depositing user: Mr Derek Boyle
Date deposited: 10 Feb 2006
Last modified: 21 Sep 2017 15:10
URI: https://strathprints.strath.ac.uk/id/eprint/57
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