black_scholes_test

black_scholes_test is a MATLAB program which calls black_scholes to demonstrate several approaches to the valuation of a European call, by Desmond Higham.

Related Data and Programs:

black_scholes, a MATLAB library which implements some simple approaches to the Black-Scholes option valuation theory, by Desmond Higham.

Source Code:

• black_scholes_test.m calls all the tests.
• black_scholes_test.sh runs all the tests.
• black_scholes_test.txt the output file.
• asset_path_test.m
• asset_path.png, a plot of the asset path test.
• asset_path.txt, the output data file from the asset path test.
• binomial_test.m
• bsf_test.m
• forward_test.m
• forward_test.png, a plot of the forward test results.
• mc_test.m