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| Content Provider | IEEE Xplore Digital Library |
|---|---|
| Author | Lin Li Lele Wang |
| Copyright Year | 2010 |
| Description | Author affiliation: Financial Engineering Department, Institute of Shanghai Securities Co., Ltd, Shanghai, China, 200001 (Lele Wang) || School of Business, East China University of Science and Technology, Shanghai, China, 200237 (Lin Li) |
| Abstract | The aim of paper is to use Genetic algorithm and Monte Carlo to price convertible bond with finite maturity. As we known, Monte Carlo is hardly applied to price the derivatives with optimal items. Combined with Genetic algorithm and Cubic sample function, Monte Carlo not only solves the convertible bond with optimal conversion items, but also prices that with long-range dependence property. By evaluating the controlling points of cubic sample function, the optimal convertible boundary is showed. Furthermore, the proposed method can be applied to price derivatives with optimal items, such as American option and optimal investment with muti-risky assets. |
| Starting Page | 369 |
| Ending Page | 372 |
| File Size | 116157 |
| Page Count | 4 |
| File Format | |
| ISBN | 9781424469277 |
| e-ISBN | 9781424469284 |
| DOI | 10.1109/ICIFE.2010.5609380 |
| Language | English |
| Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Publisher Date | 2010-09-17 |
| Publisher Place | China |
| Access Restriction | Subscribed |
| Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
| Subject Keyword | Brownian motion Monte Carlo methods Biological system modeling Computational modeling Monte Carlo Prototypes Conversion item Pricing Genetic Algorithm Genetics convertible bond |
| Content Type | Text |
| Resource Type | Article |
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