DocumentCode
2167619
Title
Numerical analysis of corporate claims
Author
Jian Zhai ; Yunqin Liang ; Jianping Fang
Author_Institution
Department of Mathematics, Zhejiang University, Hangzhou, China
fYear
2010
fDate
4-6 Dec. 2010
Firstpage
5935
Lastpage
5939
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;
fLanguage
English
Publisher
ieee
Conference_Titel
Information Science and Engineering (ICISE), 2010 2nd International Conference on
Conference_Location
Hangzhou, China
Print_ISBN
978-1-4244-7616-9
Type
conf
DOI
10.1109/ICISE.2010.5692000
Filename
5692000
Link To Document