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Issue No.06 - November/December (2004 vol.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).
scientific computing, education
Desmond J. Higham, "Black-Scholes for Scientific Computing Students", Computing in Science & Engineering, vol.6, no. 6, pp. 72-79, November/December 2004, doi:10.1109/MCSE.2004.62
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