BLACK_SCHOLES
Simple Approaches to the Black-Scholes Equation

BLACK_SCHOLES is a Python library 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 a Python version.

Related Data and Programs:

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

Author:

Desmond Higham

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.

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