16:642:621. Financial Mathematics I

Last updated: April 7, 2005 © Paul Feehan (feehan at rci dot rutgers dot edu)

Sample C and C++ Programs

C Programs 

gbm.tar.gz - Geometric Brownian Motion simulation package
bsm.tar.gz - Black-Scholes-Merton European call option pricing using Monte Carlo simulation and exact formula

matinvert.tar.gz - Matrix inversion using LU matrix decomposition