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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
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Record Link
<a href="https://www.compadre.org/portal/items/detail.cfm?ID=7367">Higham, Desmond. "Black-Scholes for Scientific Computing Students." Comp. Sci. Eng. 6, no. 6, (November 1, 2004): 72-79.</a>
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 June 9, 2026, 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 9 June 2026).
MLA Format
Higham, Desmond. "Black-Scholes for Scientific Computing Students." Comp. Sci. Eng. 6.6 (2004): 72-79. 9 June 2026 <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 Disclaimer: ComPADRE offers citation styles as a guide only. We cannot offer interpretations about citations as this is an automated procedure. Please refer to the style manuals in the Citation Source Information area for clarifications.
Citation Source Information
The AIP Style presented is based on information from the AIP Style Manual. The APA Style presented is based on information from APA Style.org: Electronic References. The Chicago Style presented is based on information from Examples of Chicago-Style Documentation. The MLA Style presented is based on information from the MLA FAQ. |
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