Black-Scholes for scientific computing students

D.J. Higham

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)
20 Downloads (Pure)


Mathematical finance provides a modern, attractive source of examples and case studies for scientific computing classes. In this installment of Education, I will show how educators can use the Nobel Prize-winning Black-Scholes option valuation theory to motivate exercises in Monte Carlo simulation, matrix computation, and numerical methods for partial differential equations (PDEs).
Original languageEnglish
Pages (from-to)72-79
Number of pages7
JournalComputing in Science and Engineering
Issue number6
Publication statusPublished - Nov 2004


  • numerical analysis
  • Monte Carlo methods
  • finite difference methods
  • partial differential equations
  • financial data processing
  • binomial distribution
  • educational computing

Cite this