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black_scholes.html
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<html>
<head>
<title>
BLACK_SCHOLES - Simple Approaches to the Black-Scholes Equation
</title>
</head>
<body bgcolor="#EEEEEE" link="#CC0000" alink="#FF3300" vlink="#000055">
<h1 align = "center">
BLACK_SCHOLES <br> Simple Approaches to the Black-Scholes Equation
</h1>
<hr>
<p>
<b>BLACK_SCHOLES</b>
is a FORTRAN90 library which
demonstrates several approaches to the valuation of a European call,
by Desmond Higham.
</p>
<h3 align = "center">
Licensing:
</h3>
<p>
The computer code and data files described and made available on this web page
are distributed under
<a href = "../../txt/gnu_lgpl.txt">the GNU LGPL license.</a>
</p>
<h3 align = "center">
Languages:
</h3>
<p>
<b>BLACK_SCHOLES</b> is available in
<a href = "../../c_src/black_scholes/black_scholes.html">a C version</a> and
<a href = "../../cpp_src/black_scholes/black_scholes.html">a C++ version</a> and
<a href = "../../f77_src/black_scholes/black_scholes.html">a FORTRAN77 version</a> and
<a href = "../../f_src/black_scholes/black_scholes.html">a FORTRAN90 version</a> and
<a href = "../../m_src/black_scholes/black_scholes.html">a MATLAB version</a>.
</p>
<h3 align = "center">
Related Data and Programs:
</h3>
<p>
<a href = "../../f_src/colored_noise/colored_noise.html">
COLORED_NOISE</a>,
a FORTRAN90 library which
generates samples of noise obeying a 1/f^alpha power law.
</p>
<p>
<a href = "../../m_src/pce_legendre/pce_legendre.html">
PCE_LEGENDRE</a>,
a MATLAB program which
assembles the system matrix associated with a polynomal chaos expansion
of a 2D stochastic PDE, using Legendre polynomials;
</p>
<p>
<a href = "../../f_src/pce_ode_hermite/pce_ode_hermite.html">
PCE_ODE_HERMITE</a>,
a FORTRAN90 program which
sets up a simple scalar ODE for exponential decay with an uncertain
decay rate, using a polynomial chaos expansion in terms of Hermite polynomials.
</p>
<p>
<a href = "../../f_src/pink_noise/pink_noise.html">
PINK_NOISE</a>,
a FORTRAN90 library which
computes a "pink noise" signal obeying a 1/f power law.
</p>
<p>
<a href = "../../f_src/sde/sde.html">
SDE</a>,
a FORTRAN90 library which
illustrates the properties of stochastic differential equations, and
common algorithms for their analysis,
by Desmond Higham;
</p>
<p>
<a href = "../../m_src/stochastic_diffusion/stochastic_diffusion.html">
STOCHASTIC_DIFFUSION</a>,
MATLAB functions which
implement several versions of a stochastic diffusivity coefficient.
</p>
<p>
<a href = "../../m_src/stochastic_gradient_nd_noise/stochastic_gradient_nd_noise.html">
STOCHASTIC_GRADIENT_ND_NOISE</a>,
a MATLAB program which
solves an optimization problem involving a functional over a system
with stochastic noise.
</p>
<p>
<a href = "../../f_src/stochastic_rk/stochastic_rk.html">
STOCHASTIC_RK</a>,
a FORTRAN90 library which
applies a Runge-Kutta scheme to a stochastic differential equation.
</p>
<h3 align = "center">
Author:
</h3>
<p>
Original MATLAB version by Desmond Higham;<br>
FORTRAN90 version by John Burkardt.
</p>
<h3 align = "center">
Reference:
</h3>
<p>
<ol>
<li>
Desmond Higham,<br>
Black-Scholes for Scientific Computing Students,<br>
Computing in Science and Engineering,<br>
Volume 6, Number 6, November/December 2004, pages 72-79.
</li>
</ol>
</p>
<h3 align = "center">
Source Code:
</h3>
<p>
<ul>
<li>
<a href = "black_scholes.f90">black_scholes.f90</a>, the source code.
</li>
<li>
<a href = "black_scholes.sh">black_scholes.sh</a>,
BASH commands to compile the source code.
</li>
</ul>
</p>
<h3 align = "center">
Examples and Tests:
</h3>
<p>
<ul>
<li>
<a href = "black_scholes_prb.f90">black_scholes_prb.f90</a>,
a sample calling program.
</li>
<li>
<a href = "black_scholes_prb.sh">black_scholes_prb.sh</a>,
BASH commands to compile and run the sample program.
</li>
<li>
<a href = "black_scholes_prb_output.txt">black_scholes_prb_output.txt</a>,
the output file.
</li>
<li>
<a href = "asset_path.txt">asset_path.txt</a>,
the output data file from the asset path test.
</li>
</ul>
</p>
<h3 align = "center">
List of Routines:
</h3>
<p>
<ul>
<li>
<b>ASSET_PATH</b> simulates the behavior of an asset price over time.
</li>
<li>
<b>BINOMIAL</b> uses the binomial method for a European call.
</li>
<li>
<b>BSF</b> evaluates the Black-Scholes formula for a European call.
</li>
<li>
<b>FORWARD</b> uses the forward difference method to value a European call option.
</li>
<li>
<b>GET_UNIT</b> returns a free FORTRAN unit number.
</li>
<li>
<b>MC</b> uses Monte Carlo valuation on a European call.
</li>
<li>
<b>R8_NORMAL_01</b> returns a unit pseudonormal R8.
</li>
<li>
<b>R8_UNIFORM_01</b> returns a unit pseudorandom R8.
</li>
<li>
<b>R8VEC_NORMAL_01</b> returns a unit pseudonormal R8VEC.
</li>
<li>
<b>R8VEC_PRINT_PART</b> prints "part" of an R8VEC.
</li>
<li>
<b>R8VEC_UNIFORM_01</b> returns a unit pseudorandom R8VEC.
</li>
<li>
<b>R8VEC_WRITE</b> writes an R8VEC file.
</li>
<li>
<b>TIMESTAMP</b> prints the current YMDHMS date as a time stamp.
</li>
</ul>
</p>
<p>
You can go up one level to <a href = "../f_src.html">
the FORTRAN90 source codes</a>.
</p>
<hr>
<i>
Last revised on 16 February 2012.
</i>
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