black_scholes, a C code 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 FORTRAN90 version and a MATLAB version and a Python version.
colored_noise, a C code which generates samples of noise obeying a 1/f^alpha power law.
ornstein_uhlenbeck, a C code which approximates solutions of the ornstein-uhlenbeck stochastic differential equation (sde) using the euler method and the euler-maruyama method.
pce_ode_hermite, a C code 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 C code which computes a "pink noise" signal obeying a 1/f power law.
sde, a C code which illustrates the properties of stochastic differential equations (sde's), and common algorithms for their analysis, by desmond higham;
stochastic_diffusion, a C code which implements several versions of a stochastic diffusivity coefficient.
stochastic_rk, a C code which applies a runge-kutta scheme to a stochastic differential equation.
Original MATLAB version by Desmond Higham;
C version by John Burkardt.