摘要
主要讨论如何用偏微分方程(PDE)估值3个动态过程的换汇换利衍生品(cross-currency interest rate derivatives)的价格,并用有限差分法进行离散.
An approach to value the price cross-currency interest rate derivatives in terms of three correlated proces- ses by partial differential equations is proposed. The finite difference method is used for the spatial discretization of PDE.
出处
《河南教育学院学报(自然科学版)》
2015年第3期7-11,共5页
Journal of Henan Institute of Education(Natural Science Edition)
基金
河南省教育厅科学技术研究重点项目(13A140224)
关键词
换汇换利
外汇
偏微分方程
有限差分法
交替方向隐式
cross-currency interest rate
currency
partial differential equations
finite difference method
ADI