An attempt to solve PDEs using three methods (Explicit, Implicit and Crank-Nicolson)
A CPU reference is used to confirm I'm in the right direction and hone knowledge. A toy example will be used (call option on a bank stock) to have a result to play with.
- build.bat Windows helper to run CMake
- CMakeLists.txt
- toolchains Compiler optimisations via cmake
- cpu/ Reference CPU implementation
- gpu/ CUDA implementation
"GPU implementation of finite difference solvers" Mark Giles and Jeremy Appleyard https://people.maths.ox.ac.uk/~gilesm/files/WHPCF14.pdf