Title :
Numerical analysis of corporate claims
Author :
Jian Zhai ; Yunqin Liang ; Jianping Fang
Author_Institution :
Department of Mathematics, Zhejiang University, Hangzhou, China
Abstract :
The basis of the model is the Cox,Ingersoll,Ross(1978) partial differential equations for the value of an asset. This equation is itself the result of combining the Black-Scholes model with the assumption that the pricing function for securities is consistent with rational expectations. The model is used to analyze the financing and investment strategies of a hypothetical firm. In this paper, a numerical solution algorithm by explicit difference schemes is given for the equations. We also draw graphs of numerical solution of hypothetical firm using Matlab software.
Keywords :
Equations; Heat transfer; Mathematical model; Numerical models; Pricing; Security; Black-Scholes formula; difference scheme;
Conference_Titel :
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location :
Hangzhou, China
Print_ISBN :
978-1-4244-7616-9
DOI :
10.1109/ICISE.2010.5692000
