Monte Carlo Bounds for Game Options Including Convertible Bonds

Christopher Beveridge () and Mark Joshi
Additional contact information
Christopher Beveridge: Centre for Actuarial Studies, Department of Economics, University of Melbourne, Victoria 3010, Australia

Management Science, 2011, vol. 57, issue 5, 960-974

Abstract: We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be used as a generic way to obtain bounds in the extended framework, and we apply the new results to the pricing of convertible bonds by simulation. This paper was accepted by Wei Xiong, finance.

Keywords: finance; asset pricing; games-group decisions; stochastic; probability; stochastic model applications; Monte Carlo simulation; Bermudan optionality (search for similar items in EconPapers)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.1110.1319 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:57:y:2011:i:5:p:960-974

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().