文献类型：会议论文

英文题名：Using Genetic Algorithms and Monte Carlo to Price Convertible Bond

作者：Li, Lin[1];Wangn, Lele[2]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Inst Shanghai Secur Co Ltd, Financial Engn Dept, Shanghai 200001, Peoples R China

会议论文集：2nd IEEE International Conference on Information and Financial Engineering (ICIFE)

会议日期：SEP 17-19, 2010

会议地点：Chongqing, PEOPLES R CHINA

语种：英文

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

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 muti-risky assets.