A. What to find in this directory

DATA       : Directory with DATA files to run these program.
efdata.rdm : Data description for efdata file
efmain.c   : Main Test Program for option valuation with the explicit
             finite difference method
efoption.c : Function called from efmain.
gdata.rdm  : Data description for gdata file
 gmain.c   : Main Test Program for option valuation on a general 
             additive binomial tree.
goption.c  : Function called from gomain.
Makefile   : Makefile for efoption, goption , moption, toption
mdata.rdm  :
 mmain.c   : The three files for multiplicative binomial trees
moption.c  :
option.h   : Header file
README     : This file
tdata.rdm  :
 tmain.c   : The three files for trinomial tree based option price valuations.
toption.c  : 

B. How to compile

   Each one of the four sets of program has a prefix.
   m for m* files: Multiplicative binomial trees
   g for g* files: General additive binomial trees
   t for t* files: Trinomial Trees
  ef for ef* files: Option valuations using Black-Scholes with explicit
                    finite differences.
  Let us call this prefix P.
  
  B.0 How to set up the *.c files?

  Go to Pmain.c (close to the end) and def/undef options you want 
  among European/American Call/Put options.

  B.1 How to compile
   % make clean; make Pall
   # Therefore the trinomial tree code is compiled by
     % make clean;make tall
   # and similarly for the others
  B.2 How to run
   %  Poption N <Pdata
   # Therefore the trinomial tree code is executed
     % toption 8192 <tdata
   # and similarly for the others

  B.3 Is the output correct?
   Examples of option prices are available in *.rdm files. 
   Also check the reference; I used them to create the *data files.
  

C. References.

L.Clewlow and C.Strickland.  Implementing derivative models.
John Wiley & Sons, 1998.

