black_scholes


black_scholes, a C++ code which demonstrates several simple approaches to the valuation of a European call using the Black-Scholes equation, by Desmond Higham.

Licensing:

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

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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PCE_ODE_HERMITE, a C++ code which sets up a simple scalar ODE for exponential decay with an uncertain decay rate, using a polynomial chaos expansion in terms of Hermite polynomials.

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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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Author:

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

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 08 February 2020.