A new general optimal principle of designing explicit finite difference method for valuing derivative securities

Jiangping Peng; Weiping Xiong; Songren Li; Qingfeng Guo

doi:10.1007/s11771-999-0018-2

Journal of Central South University ›› 1999, Vol. 6 ›› Issue (2) : 142 -144. DOI: 10.1007/s11771-999-0018-2

Mining, Materials And Information Engineering

A new general optimal principle of designing explicit finite difference method for valuing derivative securities

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Abstract

A new general optimal principle of designing explicit finite difference method was obtained. Several applied cases were put forward to explain the uses of the principle. The validity of the principal was tested by a numeric example.

Keywords

derivative security / explicit finite difference method / implicit finite difference method / numerical method

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Jiangping Peng, Weiping Xiong, Songren Li, Qingfeng Guo. A new general optimal principle of designing explicit finite difference method for valuing derivative securities. Journal of Central South University, 1999, 6(2): 142-144 DOI:10.1007/s11771-999-0018-2