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If you a few hours then you could try ADE http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1552926 Euler is OK for 101 but at some time get to the hard stuff if you want better performance, e.g. Crank Nicolson.
If you a few hours then you could try ADE
http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1552926
Euler is OK for 101 but at some time get to the hard stuff if you want better performance, e.g. Crank Nicolson.
