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Black-Scholes for Scientific Computing Students
November/December 2004 (vol. 6 no. 6)
pp. 72-79
Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show 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).
Index Terms:
scientific computing, education
Citation:
Desmond J. Higham, "Black-Scholes for Scientific Computing Students," Computing in Science and Engineering, vol. 6, no. 6, pp. 72-79, Nov.-Dec. 2004, doi:10.1109/MCSE.2004.62
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