Black-Scholes for scientific computing students

Research output: Contribution to journalArticlepeer-review

Abstract / Description of output

Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).
Original languageEnglish
Pages (from-to)72-79
Number of pages8
JournalComputing in Science and Engineering
Issue number6
Publication statusPublished - Nov 2004

Keywords / Materials (for Non-textual outputs)

  • numerical analysis
  • Monte Carlo methods
  • finite difference methods
  • partial differential equations
  • financial data processing
  • binomial distribution
  • educational computing


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