black_scholes, a MATLAB code which demonstrates several approaches to the valuation of a European call, by Desmond Higham.


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:


blsprice_test, MATLAB codes which demonstrate the use of the BLSPRICE function, for Black-Scholes option pricing, from the MATLAB Financial Mathematics toolbox.

cnoise, a MATLAB code which generates samples of noise obeying a 1/f^alpha power law, by Miroslav Stoyanov.

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

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

sde, a MATLAB code which illustrates some properties of stochastic differential equations, and the algorithms used to analyze them.

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


Desmond Higham


  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 01 December 2018.