THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION

Applied Mathematics and Mechanics (English Edition) ›› 1999, Vol. 20 ›› Issue (7): 789-794.

THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION

孙鸿烈

Department of Mathematics, Liaoning University, Shenyang 110036, P. R. China

收稿日期:1997-04-28 修回日期:1999-04-18 出版日期:1999-07-18 发布日期:1999-07-18
基金资助:
the Natural Science Foundation of Province Liaoning Education Committee

THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION

Sun Honglie

Department of Mathematics, Liaoning University, Shenyang 110036, P. R. China

Received:1997-04-28 Revised:1999-04-18 Online:1999-07-18 Published:1999-07-18
Supported by:
the Natural Science Foundation of Province Liaoning Education Committee

摘要/Abstract

摘要： In this paper, an explicit three-level symmetrical differencing scheme with parameters for solving parabolic partial differential equation of three-dimension will be considered. The stability condition and local truncation error for the scheme are r<1/2 and O(Δt²+Δx⁴+ Δy⁴+Δz⁴) , respectively.

关键词: financial derivatives, future trading, stock index futures (index futures), Black-Scholes model, differential equation, parabolic partial differential equation of three-dimension, implicit difference scheme, explicit difference scheme, local truncation error, absolutely stable, condition stable

Abstract: In this paper, an explicit three-level symmetrical differencing scheme with parameters for solving parabolic partial differential equation of three-dimension will be considered. The stability condition and local truncation error for the scheme are r<1/2 and O(Δt²+Δx⁴+ Δy⁴+Δz⁴) , respectively.

Key words: financial derivatives, future trading, stock index futures (index futures), Black-Scholes model, differential equation, parabolic partial differential equation of three-dimension, implicit difference scheme, explicit difference scheme, local truncation error, absolutely stable, condition stable

中图分类号:

O1751.26

孙鸿烈. THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION[J]. Applied Mathematics and Mechanics (English Edition), 1999, 20(7): 789-794.

Sun Honglie . THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION[J]. Applied Mathematics and Mechanics (English Edition), 1999, 20(7): 789-794.

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THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION

THE HIGH ACCURACY EXPLICIT DIFFERENCE SCHEME FOR SOLVING PARABOLIC EQUATIONS 3-DIMENSION

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