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