Pricing Chinese Convertible Bonds with Default Intensity by Monte Carlo Method
نویسندگان
چکیده
منابع مشابه
Monte Carlo Bounds for Game Options Including Convertible Bonds
We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalise the duality results of Haugh–Kogan/Rogers and Jamshidian to the case where both parties of a contract have Bermudan optionality. It is shown that the Andersen–Broadie method can still be used as a generic way to obtain bounds in the extended framework, and we appl...
متن کاملSimulation-Based Pricing of Convertible Bonds
We propose and empirically study a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world convertible bo...
متن کاملA Two-Person Game for Pricing Convertible Bonds
A firm issues a convertible bond. At each subsequent time, the bondholder must decide whether to continue to hold the bond, thereby collecting coupons, or to convert it to stock. The bondholder wishes to choose a conversion strategy to maximize the bond value. Subject to some restrictions, the bond can be called by the issuing firm, which presumably acts to maximize the equity value of the firm...
متن کاملPricing and Hedging Convertible Bonds Under Non-probabilistic Interest Rates
Two of the authors (DE and PW) recently introduced a non-probabilistic spot interest rate model. The key concepts in this model are the non-diffusive nature of the spot rate process and the uncertainty in the parameters. The model assumes the worst possible outcome for the spot rate path when pricing a fixed-income product. The model differs in many important ways from the traditional approache...
متن کاملPerformance of GPU for Pricing Financial Derivatives: Convertible Bonds
Financial derivatives are financial instruments whose payoff is linked to some fundamental financial assets or indices. They are essential tools for speculation and risk-management. This paper focuses on the pricing of a common type of derivatives: convertible bonds (CBs), which incorporate the features of both bonds and stocks. Chambers and Lu propose a popular two-factor tree model for CBs pr...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Discrete Dynamics in Nature and Society
سال: 2019
ISSN: 1026-0226,1607-887X
DOI: 10.1155/2019/8610126