black_scholes

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

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

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.

Author:

Desmond Higham

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:

• asset_path.m simulates the behavior of an asset value over time.
• binomial.m uses the binomial method for a European call.
• bsf.m evaluates the Black-Scholes formula for a European call.
• forward.m uses the forward difference method for a European call.
• mc.m uses the Monte Carlo method for a European call.
• r8vec_print_some.m, prints "part" of an R8VEC.
• r8vec_write.m, writes an R8VEC to a file.