### 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 |
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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Publication status | Unpublished - Jan 2004 |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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## Cite this

Higham, D. J. (2004).

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