Black-Scholes option valuation for scientific computing students

Desmond J. Higham

Black-Scholes option valuation for scientific computing students

School of Mathematics

Research output: Book/Report › Book

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
Publication status	Unpublished - Jan 2004

Keywords / Materials (for Non-textual outputs)

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

Access to Document

strathprints000057Accepted author manuscript, 291 KB

Cite this

@book{0558345b4f434f7098c7c9e9d6728805,

title = "Black-Scholes option valuation for scientific computing students",

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.",

keywords = "Mathematical finance, scientific computation, Black-Scholes option valuation theory, Monte Carlo simulation, matrix computation",

author = "Higham, \{Desmond J.\}",

note = "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.",

year = "2004",

month = jan,

language = "English",

publisher = "University of Strathclyde",

}

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 - Book

BT - Black-Scholes option valuation for scientific computing students

PB - University of Strathclyde

CY - Glasgow, UK

ER -

Black-Scholes option valuation for scientific computing students

Abstract

Keywords / Materials (for Non-textual outputs)

Access to Document

Fingerprint

Cite this