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 [Report] (Unpublished)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.

    Creators(s): Higham, Desmond J. ORCID logoORCID: https://orcid.org/0000-0002-6635-3461;
    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:23 Feb 2021 11:31
    URI:https://strathprints.strath.ac.uk/id/eprint/57
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