black_scholes_test


black_scholes_test, a C++ program which calls black_scholes() to demonstrate several simple approaches to the valuation of a European call using the Black-Scholes equation.

Licensing:

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

Related Data and Programs:

black_scholes, a C++ library which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.

Source Code:


Last revised on 08 February 2020.