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Apr 29

Finite Difference Method for EXCEL

Posted by abiao at 14:04 | Code » VBA/Excel | Comments(0) | Reads(16466)
Finite difference method has been repeatedly introduced to solve partial differential equation (PDE), for example, in past entries Crank-Nicholson finite difference solution of American option, Crank-Nicolson for a European put, PSOR for American option, etc.

here is a Finite Difference Method for EXCEL addin which contains macro to solve numerically partial differential equations (PDE) and ordinary differential equations (ODE) with the Finite Differences Method (FD). Seems it can only be applied for two dimensional problem, but should be enough for normal cases me meet.

Document and macro are at: http://digilander.libero.it/foxes/diffequ/fdsolver_review.htm

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