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Computing in Science and Engineering
Black-Scholes for Scientific Computing Students
written by Desmond Higham
Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of education, the author shows 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).
Computing in Science and Engineering: Volume 6, Issue 6, Pages 72-79
https://doi.org/10.1109/MCSE.2004.62
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General Physics
- Computational Physics
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- Differential Equations
- Linear Algebra and Tensors
- Numerical Analysis
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- Computer Science
- Mathematics
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© 2004 Computing in Science and Engineering
DOI:
10.1109/MCSE.2004.62
Keywords:
Monte Carlo, black-scholes, matrix computation, partial differential equation
Record Creator:
Metadata instance created June 4, 2008 by Christopher Allen
Record Updated:
June 6, 2008 by Bruce Mason
Last Update
when Cataloged:
November 1, 2004
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Record Link
AIP Format
D. Higham, , Comp. Sci. Eng. 6 (6), 72 (2004), WWW Document, (https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519).
AJP/PRST-PER
D. Higham, Black-Scholes for Scientific Computing Students, Comp. Sci. Eng. 6 (6), 72 (2004), <https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519>.
APA Format
Higham, D. (2004, November 1). Black-Scholes for Scientific Computing Students. Comp. Sci. Eng., 6(6), 72-79. Retrieved April 25, 2024, from https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519
Chicago Format
Higham, Desmond. "Black-Scholes for Scientific Computing Students." Comp. Sci. Eng. 6, no. 6, (November 1, 2004): 72-79, https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519 (accessed 25 April 2024).
MLA Format
Higham, Desmond. "Black-Scholes for Scientific Computing Students." Comp. Sci. Eng. 6.6 (2004): 72-79. 25 Apr. 2024 <https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519>.
BibTeX Export Format
@article{ Author = "Desmond Higham", Title = {Black-Scholes for Scientific Computing Students}, Journal = {Comp. Sci. Eng.}, Volume = {6}, Number = {6}, Pages = {72-79}, Month = {November}, Year = {2004} }
Refer Export Format

%A Desmond Higham %T Black-Scholes for Scientific Computing Students %J Comp. Sci. Eng. %V 6 %N 6 %D November 1, 2004 %P 72-79 %U https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519 %O application/pdf

EndNote Export Format

%0 Journal Article %A Higham, Desmond %D November 1, 2004 %T Black-Scholes for Scientific Computing Students %J Comp. Sci. Eng. %V 6 %N 6 %P 72-79 %8 November 1, 2004 %U https://www.compadre.org/Repository/document/ServeFile.cfm?ID=7367&DocID=519


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