Monte Carlo Bounds for Game Options Including Convertible Bonds

DOI10.1287/MNSC.1110.1319zbMath1217.91199OpenAlexW3125193590MaRDI QIDQ3019540

Christopher Beveridge, Mark S. Joshi

Publication date: 28 July 2011

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/c8a7219184c711940a078bb802013c8aa98ddf4b

zbMATH Keywords

asset pricingprobabilityMonte Carlo simulationfinancestochasticstochastic model applicationsgames-group decisionsBermudan optionality

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Derivative securities (option pricing, hedging, etc.) (91G20)

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