Title :
Pricing Exchangeable Bonds Based on Monte Carlo Method
Author :
Guo Baosheng ; Ren Ruoen
Author_Institution :
Econ. & Manage. Dept., Beihang Univ., Beijing, China
Abstract :
This paper represents exchangeable bond, the new financial tool in Chinese market, pricing method based on the Monte Carlo method. We design a real case of exchangeable bond terms and pricing it based on the Monte Carlo algorithm.
Keywords :
Monte Carlo methods; least squares approximations; pricing; share prices; Chinese market; LSM algorithm; Monte Carlo method; financial tool; least square method; option pricing; pricing exchangeable bond; Algorithm design and analysis; Computational modeling; Cost accounting; Design methodology; Economic indicators; Financial management; Instruments; Monte Carlo methods; Pricing; Security;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5301922
