Adapted downhill simplex method for pricing convertible bonds
The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and minimax optimization. Stock prices (underlying asset) were modeled under the as...
Saved in:
| Date: | 2007 |
|---|---|
| Main Authors: | , , |
| Format: | Article |
| Language: | English |
| Published: |
Інститут математики НАН України
2007
|
| Online Access: | http://dspace.nbuv.gov.ua/handle/123456789/4517 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| Cite this: | Adapted downhill simplex method for pricing convertible bonds / K. Mishchenko, V. Mishchenko, A. Malyarenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 130–147. — Бібліогр.: 5 назв.— англ. |