拟径向基函数法在公司债券风险衡量中的应用
  修订日期:2007-09-26  点此下载全文
引用本文:梅立泉,程佩佩.拟径向基函数法在公司债券风险衡量中的应用[J].经济数学,2008,(1):19-23
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梅立泉  程佩佩
西安交通大学理学院 陕西西安710049
基金项目:国家自然科学基金 , 教育部留学回国人员科研启动基金
中文摘要:本文应用拟径向基函数法(Q-RBFS)求解基于风险债券定价的Black-Scholes方程,并采用了特殊的方法降低系数矩阵的条件数来解决由于不断循环求解方程组所积累的误差,得到精确度较高的数值近似解,实现了债券风险定价.
中文关键词:Black-Scholes模型,风险溢价,径向基函数
 
QUASI-RADIAL BASIS FUNCTIONS METHOD AND ITS APPLICATIONS IN RISK MEASURE OF CORPORATE BONDS
Mei Liquan  Cheng Peipei
Abstract:Q-RBFS method is applied to solve the Black-Scholes equation,which is deduced from pricing of corporate bonds.According to the feature of linear ill-condition equations,a special means is used to reduce the condition number of the resultant matrixes to deal with the big error accumulated by the repeating solution for the pricing of corporate bonds equation.Then we can get an accurate numerical solution of the equation.
keywords:Black-Scholes model,the risk premium,QRBFS
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