A radial basis functions method for price of convertible bonds based two-factor model

被引：0

作者：

Gong, P ^{[1
]}

He, XB ^{[1
]}

Si, JW ^{[1
]}

机构：

[1] Huazhong Univ Sci & Technol, Coll Management, Wuhan 430074, Peoples R China

来源：

PROCEEDINGS OF 2003 INTERNATIONAL CONFERENCE ON MANAGEMENT SCIENCE & ENGINEERING, VOLS I AND II | 2003年

关键词：

convertible bonds; two-factor model; radial basis functions;

D O I：

暂无

中图分类号：

TP18 [人工智能理论];

学科分类号：

081104 ; 0812 ; 0835 ; 1405 ;

摘要：

This paper has studied the two-factor model of pricing convertible bonds based on the firm value (stock value) and stochastic interest rate. We interpolated convertible bonds using radial basis functions, and obtained the numerical solution with good precision.

引用

页码：1591 / 1595

页数：5

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