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#BLACK_SCHOLES

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

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

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

Desmond Higham, Black-Scholes for Scientific Computing Students, Computing in Science and Engineering, Volume 6, Number 6, November/December 2004, pages 72-79.

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

• 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.

• 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.