Black-Scholes option valuation for scientific computing students

Desmond J. Higham

Black-Scholes option valuation for scientific computing students

Desmond J. Higham

Mathematics And Statistics

Research output: Book/Report › Other report

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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 language	English
Place of Publication	Glasgow, UK
Publisher	University of Strathclyde
Number of pages	15
Publication status	Unpublished - Jan 2004

Keywords

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

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strathprints000057Accepted author manuscript, 253 KB

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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.",

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KW - scientific computation

KW - Black-Scholes option valuation theory

KW - Monte Carlo simulation

KW - matrix computation

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Black-Scholes option valuation for scientific computing students

Abstract

Keywords

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