BLACK_SCHOLES
Simple Approaches to the Black-Scholes Equation

BLACK_SCHOLES is a library of MATLAB routines, which demonstrate several approaches to the valuation of a European call.

Related Data and Programs:

SDE is a library of MATLAB routines illustrating some properties of stochastic differential equations, and the algorithms used to analyze them.

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:

• asset_path.m simulates the behavior of an asset value over time.
• binomial.m uses the binomial method for a European call.
• bsf.m evaluates the Black-Scholes formula for a European call.
• forward.m uses the forward difference method for a European call.
• mc.m uses the Monte Carlo method for a European call.
• timestamp.m prints the current YMDHMS date as a timestamp.

Examples and Tests:

• black_scholes_test.m calls all the tests.
• black_scholes_test.out the output from all the tests.
• asset_path_test.m computes and plots a number of asset paths.
• binomial_test.m demonstrates the binomial method.
• bsf_test.m demonstrates the Black-Scholes formula.
• forward_test.m demonstrates the forward difference method.
• mc_test.m demonstrates the Monte Carlo method.

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