black_scholes


black_scholes, a MATLAB code which demonstrates several approaches to the valuation of a European call, by Desmond Higham.

Languages:

black_scholes is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

Related Data and Programs:

black_scholes_test

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Author:

Desmond Higham

Reference:

  1. Desmond Higham,
    Black-Scholes for Scientific Computing Students,
    Computing in Science and Engineering,
    Volume 6, Number 6, November/December 2004, pages 72-79.

Source Code:


Last revised on 01 December 2018.