black_scholes

black_scholes, an Octave 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 an Octave version and a Python version.

Related Data and Programs:

black_scholes_test

ornstein_uhlenbeck, an Octave code which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.

Author:

Original MATLAB version by Desmond Higham; Modifications 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:

• 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.