Black-Scholes option valuation for scientific computing students

Higham, Desmond J. (2004) Black-Scholes option valuation for scientific computing students. [Report] (Unpublished)

[img] PDF (strathprints000057.pdf)
strathprints000057.pdf

Download (298kB)

    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.