The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Valuing Derivative Securities Using the Explicit Finite Difference Method
Abstract
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.
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Citations
Cites
The pricing of options and corporate liabilities
Black, F., & Scholes, M. (1973) · Journal of Political Economy · doi:10.1086/260062 · Cited by 29,074
Cited by
The impact of default risk on the prices of options and other derivative securities
Hull, J., & White, A. (1995) · Journal of Banking & Finance · doi:10.1016/0378-4266(94)00050-d · Cited by 324
Self-citation
Metadata
- Authors
- Hull, J., & White, A.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 1990-03
- Volume
- 25
- Issue
- 1
- Pages
- 87
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2107110825
- Cited by
- 335
- References
- 1
- FWCI
- 10.54
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: Valuing Derivative Securities Using the Explicit Finite Difference Method. https://app.cochat.ai/papers/10.2307/2330889
- The paper
- Hull, J., & White, A. (1990). Valuing Derivative Securities Using the Explicit Finite Difference Method. The Journal of Financial and Quantitative Analysis. https://doi.org/10.2307/2330889
Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
