stochastic_rk, a C code which implements Runge-Kutta integration methods for stochastic differential equations (SDE).
The information on this web page is distributed under the MIT license.
stochastic_rk is available in a C version and a C++ version and a Fortran77 version and a Fortran90 version and a MATLAB version and an Octave version.
black_scholes, a C code which implements some simple approaches to the Black-Scholes option valuation theory;
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