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


The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.


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

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pink_noise, a C code which computes a "pink noise" signal obeying a 1/f power law.

sde, a C code which illustrates the properties of stochastic differential equations (sde's), and common algorithms for their analysis, by desmond higham;

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Original MATLAB version by Desmond Higham;
C version by John Burkardt.


  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 09 June 2019.