Monte Carlo bounds for game options including convertible bonds

DOI10.1287/MNSC.1110.1319MaRDI QIDQ3019540zbMATH OpenOpenAlexFDO

Authors Christopher Beveridge, Mark 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 pricingBermudan optionalityfinancegames-group decisionsMonte Carlo simulationprobabilitystochasticstochastic model applications

Mathematics Subject Classification ID

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

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• An algorithmic approach to optimal asset liquidation problems
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