Title :
Black-Scholes for scientific computing students
Author :
Higham, Desmond J.
Author_Institution :
Strathclyde Univ., Glasgow, UK
Abstract :
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).
Keywords :
Monte Carlo methods; econophysics; education; finance; mathematics computing; matrix algebra; partial differential equations; Black-Scholes option valuation theory; Monte Carlo simulation; education; mathematical finance; matrix computation; numerical methods; partial differential equations; scientific computing classes; scientific computing students; Books; Computer aided software engineering; Contracts; Cost accounting; Finance; Histograms; Mathematical model; Predictive models; Random variables; Scientific computing; 65; education; scientific computing;
Journal_Title :
Computing in Science & Engineering
DOI :
10.1109/MCSE.2004.62