Code for Chapter 8 (Finite-Difference Methods):

• explicit_fd_driver.m (runs various functions to calculate European option prices)
  
• explicit_fd.m (solves the diffusion equation with an explicit method)
  
• implicit_fd_driver.m (runs various functions to calculate European option prices)
  
• implicit_fd_LU.m (an implicit finite difference scheme with LU decomposition)
  
• implicit_fd_SOR.m (an implicit finite difference scheme with SOR iterations)
  
• crank_fd_driver.m (runs various functions to calculate European option prices)
  
• crank_fd_LU.m (an Crank-Nicholson discretization and the LU decomposition)
  
• crank_fd_SOR.m (an Crank-Nicholson discretization and SOR iterations)
  
• lu_find_y.m (some preprocessing for the LU decomposition)
  
• lu_solver.m (computes the LU solution)
  
• SOR_solver.m (performs SOR iterations)
  
• European Calls (transformed payoff and boundary conditions)
  • tran_payoff_call.m (the transformed payoff)
    
  • u_m_inf_call.m (the boundary condition at minus infinity)
    
  • u_p_inf_call.m (the boundary condition at plus infinity)
    
• European Puts (transformed payoff and boundary conditions)
  • tran_payoff_put.m (the transformed payoff)
    
  • u_m_inf_put.m (the boundary condition at minus infinity)
    
  • u_p_inf_put.m (the boundary condition at plus infinity)
    
• European Cash-or-Nothing Puts (transformed payoff and boundary conditions)
  • tran_payoff_CON_put.m (the transformed payoff)
    
  • u_m_inf_CON_put.m (the boundary condition at minus infinity)
    
  • u_p_inf_CON_put.m (the boundary condition at plus infinity)