black_scholes

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

Licensing:

The information on this web page is distributed under the MIT license.

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:

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

Author:

Original MATLAB version by Desmond Higham; Python version 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:

• black_scholes.py, the source code.
• black_scholes.sh, runs the tests.
• black_scholes.txt the output file.

• asset_path.png, a plot of the asset path test.