| 可转换债券定价模型的RBF数值解 |
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| 引用本文： | 何旭彪.可转换债券定价模型的RBF数值解[J].武汉理工大学学报(交通科学与工程版),2009,33(4):799-802,810. |
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| 作者姓名： | 何旭彪 |
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| 作者单位： | 华中科技大学管理学院,武汉,430074 |
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| 基金项目： | 国家自然科学基金项目资助 |
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| 摘 要： | 基于相机权益分析方法,建立了信用风险影响下的可转换债券定价模型及相应的初边值条件,并采用径向基配置法对该定价模型进行了数值求解.通过数值模拟讨论了信用风险对可转换债券价值的影响,并对桂冠转债的定价作了实证研究.结果表明,考虑信用风险的可转换债券定价模型能有效地提高定价精度.
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| 关 键 词： | 可转换债券 信用风险 RBF方法 |
RBF Method of Pricing Convertible Bond with Credit Risk |
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| He Xubiao.RBF Method of Pricing Convertible Bond with Credit Risk[J].journal of wuhan university of technology(transportation science&engineering),2009,33(4):799-802,810. |
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| Authors: | He Xubiao |
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| Institution: | College of Management;Huazhong University of Science and Technology;Wuhan 430074 |
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| Abstract: | Radial Basis functions(RBFs) have been successfully developed as a truly mesh-free method to find the numerical solutions of partial differential equations(PDEs) in recent years.Both global and compactly supported basis functions may be used in the methods to achieve a higher order of accuracy.In this paper,a pricing model for convertible bonds with credit risk was introduced.The global RBF method was adopted to solve the pricing model and a numerical implementation was provided.Moreover,it studies the effe... |
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| Keywords: | convertible bond credit risk RBF method |
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