- 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)

- tran_payoff_call.m (the transformed payoff)
- 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)

- tran_payoff_put.m (the transformed payoff)
- 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)

- tran_payoff_CON_put.m (the transformed payoff)

John Weatherwax Last modified: Sun May 15 08:46:24 EDT 2005