The RBF Method of Pricing Two-factor Convertible Bonds with Default Risk

被引：0
|
作者：
He, Xubiao [1 ]
机构：
[1] Huazhong Univ Sci & Technol, Sch Management, Wuhan 430074, Hubei, Peoples R China
来源：
2008 4TH INTERNATIONAL CONFERENCE ON WIRELESS COMMUNICATIONS, NETWORKING AND MOBILE COMPUTING, VOLS 1-31 | 2008年
关键词：
convertible bonds; default risk; two-factor model; radial basis functions;
D O I：
暂无
中图分类号：
TN [电子技术、通信技术];
学科分类号：
0809 ;
摘要：
The focus of this work is on numerical solutions to two-factor partial differential equation for pricing convertible bonds with default risk. The model includes three impact factors: stock value, stochastic interest rate and default risk. We interpolated convertible bonds using radial basis functions, and gained numerical solution of convertible bonds with good precision.
引用
收藏
页码：9949 / 9953
页数：5
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