#BLACK_SCHOLES

Simple Approaches to the Black-Scholes Equation

BLACK_SCHOLES is a FORTRAN77 library which demonstrates several approaches to the valuation of a European call, by Desmond Higham.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license.

Author:

Original MATLAB version by Desmond Higham; FORTRAN77 version by Sourangshu Ghosh.

Reference:

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.f, the source code.
• black_scholes.sh, BASH commands to compile the source code.

Examples and Tests:

• black_scholes_prb.f, a sample calling program.
• black_scholes_prb.sh, BASH commands to compile and run the sample program.
• black_scholes_prb_output.txt, the output file.
• asset_path.txt, the output data file from the asset path test.

List of Routines:

• ASSET_PATH simulates the behavior of an asset price over time.
• BINOMIAL uses the binomial method for a European call.
• BSF evaluates the Black-Scholes formula for a European call.
• FORWARD uses the forward difference method to value a European call option.
• GET_UNIT returns a free FORTRAN unit number.
• MC uses Monte Carlo valuation on a European call.
• R8_NORMAL_01 returns a unit pseudonormal R8.
• R8_UNIFORM_01 returns a unit pseudorandom R8.
• R8VEC_NORMAL_01 returns a unit pseudonormal R8VEC.
• R8VEC_PRINT_PART prints "part" of an R8VEC.
• R8VEC_UNIFORM_01 returns a unit pseudorandom R8VEC.
• R8VEC_WRITE writes an R8VEC file.
• TIMESTAMP prints the current YMDHMS date as a time stamp.
• You can go up one level to the FORTRAN77 source codes.