Black-Scholes option valuation for scientific computing students

Desmond J. Higham

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

Keywords

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

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  • Cite this

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