可转换债券定价模型的RBF数值解

RBF Method of Pricing Convertible Bond with Credit Risk

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.

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 effect of credit risk on the value of convertible bond. Numerical results for the empirical pricing study show that the present method is effective in dealing with the pricing model of convertible bonds and considering credit risk in convertible bond model helps to increase the precision of convertible bond pricing.