The project contains one main file and 6 cpp + header files:

• Payoff: allows to take a vector of underlying values and compute a payoff vector. By default, payoffs of call and put are implemented.
  
• Boundary Condition: creates the boundary conditions associated with the PDE.
• Coef Equation: compute the parameters α, β, γ, δ associated with the PDE.
• Matrix System: Build the matrix system Xt = A Xt+1 + b associated with the PDE.
• Mesh: Solve the above matrix system at each iteration until price is found.
• Closed form: Compute the price of a call option according to the Black-Scholes closed form formula.
• Main: compute the price of a call option and its greeks via finite difference (PDE) and via closed form with the test_mesh function. The user is more than welcome to change the inputs of the function (in the main()). It takes approximately 20 seconds with 3 months maturity to get the price and the greeks. The user can uncomment rows 48-49 to see the mesh.
  
  Remark: The gamma computation seems to have an issue as we end up with a factor 2 between our value of the gamma and the one of the closed form gamma. We were not able to find the source of the issue.