Black-Scholes for scientific computing students

D.J. Higham

Research output: Contribution to journalArticle

2 Citations (Scopus)
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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).
Original languageEnglish
Pages (from-to)72-79
Number of pages7
JournalComputing in Science and Engineering
Volume6
Issue number6
DOIs
Publication statusPublished - Nov 2004

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Keywords

  • numerical analysis
  • Monte Carlo methods
  • finite difference methods
  • partial differential equations
  • financial data processing
  • binomial distribution
  • educational computing

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