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.
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.
出处
《经济数学》
2008年第1期19-23,共5页
Journal of Quantitative Economics
基金
国家自然科学基金资助项目(No.10471109)
教育部留学归国基金项目[2004]527
