Tekijä: | Hull, J. White, A. |
Otsikko: | Valuing derivative securities using the explicit finite difference method. |
Lehti: | Journal of Financial and Quantitative Analysis
1990 : MAR, VOL. 25:1, p. 87-100 |
Asiasana: | SECURITIES PORTFOLIO MANAGEMENT |
Kieli: | eng |
Tiivistelmä: | A suggested modification to the explicit finite difference method of valuing derivative securities. Explicit finite difference method. Proposed procedure. Transformation of variables. Modification to the branching process. One state variable interest rate model. Dealing with more than one state variable. Four Tables and a Figure illustrate the study. |
SCIMA