• DocumentCode
    2096785
  • Title

    Pricing Exchangeable Bonds Based on Monte Carlo Method

  • Author

    Guo Baosheng ; Ren Ruoen

  • Author_Institution
    Econ. & Manage. Dept., Beihang Univ., Beijing, China
  • fYear
    2009
  • fDate
    20-22 Sept. 2009
  • Firstpage
    1
  • Lastpage
    4
  • 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;
  • fLanguage
    English
  • Publisher
    ieee
  • 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
  • Type

    conf

  • DOI
    10.1109/ICMSS.2009.5301922
  • Filename
    5301922
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=2096785