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 GNU LGPL license.
BLACK_SCHOLES is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version.
COLORED_NOISE, a FORTRAN77 library which generates samples of noise obeying a 1/f^alpha power law.
ORNSTEIN_UHLENBECK, a FORTRAN77 library which approximates solutions of the Ornstein-Uhlenbeck stochastic differential equation (SDE) using the Euler method and the Euler-Maruyama method.
PCE_LEGENDRE, a MATLAB program which assembles the system matrix associated with a polynomal chaos expansion of a 2D stochastic PDE, using Legendre polynomials;
PCE_ODE_HERMITE, a FORTRAN77 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.
PINK_NOISE, a FORTRAN77 library which computes a "pink noise" signal obeying a 1/f power law.
SDE, a FORTRAN77 library which illustrates the properties of stochastic differential equations (SDE's), and common algorithms for their analysis, by Desmond Higham;
STOCHASTIC_DIFFUSION, a FORTRAN77 library which implements several versions of a stochastic diffusivity coefficient.
STOCHASTIC_GRADIENT_ND_NOISE, a MATLAB program which solves an optimization problem involving a functional over a system with stochastic noise.
STOCHASTIC_RK, a FORTRAN77 library which applies a Runge-Kutta scheme to a stochastic differential equation.
Original MATLAB version by Desmond Higham;
FORTRAN77 version by John Burkardt.
You can go up one level to the FORTRAN77 source codes.