black_scholes


black_scholes, a FORTRAN90 code which demonstrates several approaches to the valuation of a European call, creating graphics files for processing by gnuplot, by Desmond Higham.

Licensing:

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

COLORED_NOISE, a FORTRAN90 code which generates samples of noise obeying a 1/f^alpha power law.

gnuplot_test, FORTRAN90 codes which write data and command files so that gnuplot() can create plots.

ORNSTEIN_UHLENBECK, a FORTRAN90 code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

PCE_LEGENDRE, a MATLAB program which assembles the system matrix associated with a polynomal chaos expansion of a 2D stochastic PDE, using Legendre polynomials;

PCE_ODE_HERMITE, a FORTRAN90 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 FORTRAN90 code which computes a "pink noise" signal obeying a 1/f power law.

SDE, a FORTRAN90 code which illustrates the properties of stochastic differential equations, and common algorithms for their analysis, by Desmond Higham;

STOCHASTIC_DIFFUSION, a FORTRAN90 code which implements several versions of a stochastic diffusivity coefficient.

STOCHASTIC_GRADIENT_ND_NOISE, a MATLAB program which solves an optimization problem involving a functional over a system with stochastic noise.

STOCHASTIC_RK, a FORTRAN90 code which applies a Runge-Kutta scheme to a stochastic differential equation.

Author:

Original MATLAB version by Desmond Higham;
FORTRAN90 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 03 September 2021.