Black-Scholes option valuation for scientific computing students

Desmond J. Higham

Research output: Book/ReportOther report

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.
LanguageEnglish
Place of PublicationGlasgow, UK
PublisherUniversity of Strathclyde
Number of pages15
Publication statusUnpublished - Jan 2004

Fingerprint

Option Valuation
Mathematical Finance
Matrix Computation
Black-Scholes
Scientific Computing
Exercise
Partial differential equation
Monte Carlo Simulation
Numerical Methods
Form
Class

Keywords

  • Mathematical finance
  • scientific computation
  • Black-Scholes option valuation theory
  • Monte Carlo simulation
  • matrix computation

Cite this

Higham, D. J. (2004). Black-Scholes option valuation for scientific computing students. Glasgow, UK: University of Strathclyde.
Higham, Desmond J. / Black-Scholes option valuation for scientific computing students. Glasgow, UK : University of Strathclyde, 2004. 15 p.
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Higham, DJ 2004, Black-Scholes option valuation for scientific computing students. University of Strathclyde, Glasgow, UK.

Black-Scholes option valuation for scientific computing students. / Higham, Desmond J.

Glasgow, UK : University of Strathclyde, 2004. 15 p.

Research output: Book/ReportOther report

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Higham DJ. Black-Scholes option valuation for scientific computing students. Glasgow, UK: University of Strathclyde, 2004. 15 p.