Title :
The RBF Method of Pricing Two-Factor Convertible Bonds with Default Risk
Author_Institution :
Sch. of Manage., Huazhong Univ. of Sci. & Technol., Wuhan
Abstract :
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.
Keywords :
economic indicators; partial differential equations; pricing; radial basis function networks; securities trading; stochastic processes; RBF method; default risk; numerical solutions; partial differential equation; pricing two-factor convertible bonds; radial basis functions; stochastic interest rate; stock value; Economic indicators; Grid computing; Hazards; Helium; Interpolation; Partial differential equations; Pricing; Risk management; Technology management; Time factors;
Conference_Titel :
Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on
Conference_Location :
Dalian
Print_ISBN :
978-1-4244-2107-7
Electronic_ISBN :
978-1-4244-2108-4
DOI :
10.1109/WiCom.2008.2319
