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

  • Mining, Materials And Information Engineering
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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.

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Authors and Affiliations

  1. College of Business and Management, Central South University of Technology, 410083, Changsha, China

    Peng Jiangping & Xiong Weiping

  2. Department of Mineral Processing, Central South University of Technology, 410083, Changsha, China

    Li Songren & Guo Qingfeng

  3. Department of Finance and Insurance, Hunan College of Finance and Economics, 410079, Changsha, China

    Guo Qingfeng

Authors
  1. Peng Jiangping
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  2. Xiong Weiping
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  3. Li Songren
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  4. Guo Qingfeng
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Additional information

Synopsis of the first author Peng Jiangping, associate professor, born in April 1967, majoring in financial engineering and management information system.

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Peng, J., Xiong, W., Li, S. et al. A new general optimal principle of designing explicit finite difference method for valuing derivative securities. J Cent. South Univ. Technol. 6, 142–144 (1999). https://doi.org/10.1007/s11771-999-0018-2

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  • DOI: https://doi.org/10.1007/s11771-999-0018-2

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