Valuing Derivative Securities Using the Explicit Finite Difference Method
改进了显式有限差分法，确保时间间隔缩小时衍生证券价值收敛于微分方程解，可用于单状态变量衍生品定价，并展示了在债券和债券期权定价中的应用。
This paper suggests a modification to the explicit finite difference method for valuing derivative securities. The modification ensures that, as smaller time intervals are considered, the calculated values of the derivative security converge to the solution of the underlying differential equation. It can be used to value any derivative security dependent on a single state variable and can be extended to deal with many derivative security pricing problems where there are several state variables. The paper illustrates the approach by using it to value bonds and bond options under two different interest rate processes.