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 information on this web page is 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 an Octave version and a Python version.

Related Data and Programs:

black_scholes_test

colored_noise, a C++ code which generates samples of noise obeying a 1/f^alpha power law.

ornstein_uhlenbeck, a C++ code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

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.

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), and common algorithms for their analysis, by Desmond Higham;

stochastic_diffusion, a C++ code which implements several versions of a stochastic diffusivity coefficient.

stochastic_rk, a C++ code which applies a Runge-Kutta scheme to a stochastic differential equation.

Author:

Original MATLAB version by Desmond Higham;
This 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.