black_scholes, a C++ code which demonstrates several simple approaches to the valuation of a European call using the Black-Scholes equation, by Desmond Higham.
The information on this web page is distributed under the MIT license.
black_scholes is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave 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), 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;
This version by John Burkardt.