stochastic_rk, a Fortran90 code which implements Runge-Kutta integration methods for stochastic differential equations.
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 Fortran90 version and a MATLAB version.
black_scholes, a Fortran90 code which implements some simple approaches to the Black-Scholes option valuation theory;
colored_noise, a Fortran90 code which generates samples of noise obeying a 1/f^alpha power law.
feynman_kac_2d, a Fortran90 code which demonstrates the use of the Feynman-Kac algorithm for solving certain partial differential equations.
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