• DocumentCode
    1152889
  • Title

    Black-Scholes for scientific computing students

  • Author

    Higham, Desmond J.

  • Author_Institution
    Strathclyde Univ., Glasgow, UK
  • Volume
    6
  • Issue
    6
  • fYear
    2004
  • Firstpage
    72
  • Lastpage
    79
  • 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;
  • fLanguage
    English
  • Journal_Title
    Computing in Science & Engineering
  • Publisher
    ieee
  • ISSN
    1521-9615
  • Type

    jour

  • DOI
    10.1109/MCSE.2004.62
  • Filename
    1353184
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=1152889