Using Genetic Algorithms and Monte Carlo to Price Convertible Bond

摘要：

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 mutirisky assets.

关键词： component Genetic Algorithm Monte Carlo convertible bond Conversion item

作者: Lin Li Lele Wang

作者单位: School of Business,East China University of Science and Technology Shanghai,China 200237 Financial Engineering Department Institute of Shanghai Securities Co.,Ltd Shanghai,China 200001

会议类型: 国际会议

会议名称: 2010 2nd IEEE International Conference on Information and Financial Engineering(2010年第二届IEEE信息与金融工程国际会议 ICIFE 2010)

会议地点: 重庆

会议语种:英文

页码: 369-372

在线出版日期: 2010-09-17（万方平台首次上网日期，不代表论文的发表时间）