This file calculates price of an American put option using Gauss siedel method.
The main benefit of SOR method is its simplicity in comparision to other finite difference methods.
It is not even necessary to form a matrix equation.
I have simply used the fully implicit discretization of Black scholes equation, and taken V_i(k+1)
as a function of
V_{i+1}(k+1),V_{i-1}(k+1),V_i(k)

where V_i(k) denotes option value at stock axis node i and time axis node k