| Titre : | Monte carlo bounds for game options including convertible bonds (2011) |
| Auteurs : | Christopher Beveridge, Auteur ; Mark Joshi, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | Management science (Vol. 57 N° 5, Mai 2011) |
| Article en page(s) : | pp. 960-974 |
| Note générale : | Management |
| Langues : | Anglais |
| Index. décimale : | 658 (Organisation des entreprises. Techniques du commerce) |
| Tags : | Finance Asset pricing Games-group decisions Stochastic Probability model applications Monte carlo simulation Bermudan optionality |
| Résumé : | We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be used as a generic way to obtain bounds in the extended framework, and we apply the new results to the pricing of convertible bonds by simulation. |
| DEWEY : | 658 |
| ISSN : | 0025-1909 |
| En ligne : | http://mansci.journal.informs.org/cgi/content/abstract/57/5/960 |
