Default PossibilityWith Parasian Options Feature

摘要：

In this paper, the model of firm’s default possibility with parasian options feature is established by means of PDE method. Because the explicit solution can’t be obtained, we calculate it by the method of QuasiMonte Carlo, and the practice example of the numerical value analysis is given.

作者: Fu Yi Zhang Jizhou Wang Yang

作者单位: College of Mathematics and SciencesShanghai Normal UniversityShanghai, China College of Mathematics and Sciences Shanghai Normal University Shanghai, China

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information Management and Engineering(2010年IEEE第二届信息管理与工程国际会议 IEEE ICIME 2010)

会议地点: 成都

会议语种:英文

页码: 1-4

在线出版日期: 2010-04-16（万方平台首次上网日期，不代表论文的发表时间）