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A NEW GENERAL OPTIMAL PRINCIPLE OF DESIGNING EXPLICIT FINITE DIFFERENCE METHOD FOR VALUING DERIVATIVE SECURITIES

A NEW GENERAL OPTIMAL PRINCIPLE OF DESIGNING EXPLICIT FINITE DIFFERENCE METHOD FOR VALUING DERIVATIVE SECURITIES
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摘要 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. 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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出处 《Journal of Central South University》 SCIE EI CAS 1999年第2期142-144,共3页 中南大学学报(英文版)
关键词 derivative security explicit FINITE DIFFERENCE METHOD IMPLICIT FINITE DIFFERENCE METHOD numerical METHOD derivative security explicit finite difference method implicit finite difference method numerical method
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