black_scholes_test

black_scholes_test, a FORTRAN90 code which calls black_scholes(), 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.

Related Data and Programs:

black_scholes, a FORTRAN90 code which implements some simple approaches to the Black-Scholes option valuation theory, creating graphics files for processing by gnuplot, by Desmond Higham.

Source Code:

• black_scholes_test.f90, calls all the tests.
• black_scholes_test.sh, runs all the tests.
• black_scholes_test.txt, the output file.

• asset_path_data.txt, the graphics data file.
• asset_path_commands.txt, the graphics data file.
• asset_path.png, a PNG image of the asset path, created by GNUPLOT.