BLACK_SCHOLES, a C++ library which demonstrates several simple approaches to the valuation of a European call using the Black-Scholes equation, 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++ library which generates samples of noise obeying a 1/f^alpha power law.
ORNSTEIN_UHLENBECK, a C++ library 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++ 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 C++ library which computes a "pink noise" signal obeying a 1/f power law.
SDE, a C++ library which illustrates the properties of stochastic differential equations (SDE's), and common algorithms for their analysis, by Desmond Higham;
STOCHASTIC_DIFFUSION, a C++ library which implements several versions of a stochastic diffusivity coefficient.
STOCHASTIC_RK, a C++ library which applies a Runge-Kutta scheme to a stochastic differential equation.
Original MATLAB version by Desmond Higham;
C++ version by John Burkardt.