Black-Scholes for scientific computing students

D.J. Higham

doi:10.1109/MCSE.2004.62

Black-Scholes for scientific computing students

D.J. Higham

Mathematics And Statistics

Research output: Contribution to journal › Article › peer-review

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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 language	English
Pages (from-to)	72-79
Number of pages	7
Journal	Computing in Science and Engineering
Volume	6
Issue number	6
DOIs	https://doi.org/10.1109/MCSE.2004.62
Publication status	Published - Nov 2004

Keywords

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

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10.1109/MCSE.2004.62

strathprints000162Accepted author manuscript, 282 KB

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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).",

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KW - numerical analysis

KW - Monte Carlo methods

KW - finite difference methods

KW - partial differential equations

KW - financial data processing

KW - binomial distribution

KW - educational computing

UR - http://www.maths.strath.ac.uk/~aas96106/rep01_2004.pdf

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Black-Scholes for scientific computing students

Abstract

Keywords

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