### Abstract

Language | English |
---|---|

Place of Publication | Glasgow, UK |

Publisher | University of Strathclyde |

Number of pages | 15 |

Publication status | Unpublished - Jan 2004 |

### Fingerprint

### Keywords

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

### Cite this

*Black-Scholes option valuation for scientific computing students*. Glasgow, UK: University of Strathclyde.

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*Black-Scholes option valuation for scientific computing students*. University of Strathclyde, Glasgow, UK.

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

Research output: Book/Report › Other report

TY - BOOK

T1 - Black-Scholes option valuation for scientific computing students

AU - Higham, Desmond J.

N1 - This manuscript appears as University of Strathclyde Mathematics Research Report 01 (2004). A revised version will appear in the Education Section of Computing in Science and Engineering, 2004. The author was supported by a Research Fellowship from The Leverhulme Trust.

PY - 2004/1

Y1 - 2004/1

N2 - 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.

AB - 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.

KW - Mathematical finance

KW - scientific computation

KW - Black-Scholes option valuation theory

KW - Monte Carlo simulation

KW - matrix computation

M3 - Other report

BT - Black-Scholes option valuation for scientific computing students

PB - University of Strathclyde

CY - Glasgow, UK

ER -