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


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


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:

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


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 18 August 2017.