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

页码：9949 / 9953

页数：5