Adapted downhill simplex method for pricing convertible bonds
The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and minimax optimization. Stock prices (underlying asset) were modeled under the as...
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| Видавець: | Інститут математики НАН України |
|---|---|
| Дата: | 2007 |
| Автори: | , , |
| Формат: | Стаття |
| Мова: | English |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | http://dspace.nbuv.gov.ua/handle/123456789/4517 |
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| Цитувати: | Adapted downhill simplex method for pricing convertible bonds / K. Mishchenko, V. Mishchenko, A. Malyarenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 130–147. — Бібліогр.: 5 назв.— англ. |
Репозиторії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| id |
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| spelling |
irk-123456789-45172009-11-25T12:00:30Z Adapted downhill simplex method for pricing convertible bonds Mishchenko, K. Mishchenko, V. Malyarenko, A. The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and minimax optimization. Stock prices (underlying asset) were modeled under the assumption of the geometric Brownian motion of their values. The Monte Carlo method was used for calculating the real payoff which is the objective function. The minimax optimization problem was solved using the derivative-free Downhill Simplex method. The performed numerical experiments allowed to formulate recommendations for the choice of appropriate size of the initial simplex in the Downhill Simplex Method, the number of generated trajectories of underlying asset, the size of the problem and initial trajectories of the behavior of investors and issuers. 2007 Article Adapted downhill simplex method for pricing convertible bonds / K. Mishchenko, V. Mishchenko, A. Malyarenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 130–147. — Бібліогр.: 5 назв.— англ. 0321-3900 http://dspace.nbuv.gov.ua/handle/123456789/4517 en Інститут математики НАН України |
| institution |
Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| collection |
DSpace DC |
| language |
English |
| description |
The paper is devoted to modeling optimal exercise strategies of the behavior of investors and issuers working with convertible bonds. This implies solution of the problems of stock price modeling, payoff computation and minimax optimization.
Stock prices (underlying asset) were modeled under the assumption of the geometric Brownian motion of their values. The Monte Carlo method was used for calculating the real payoff which is the objective function. The minimax optimization problem was solved using the derivative-free Downhill Simplex method.
The performed numerical experiments allowed to formulate recommendations for the choice of appropriate size of the initial simplex in the Downhill Simplex Method, the number of generated trajectories of underlying asset, the size of the problem and initial trajectories of the behavior of investors and issuers. |
| format |
Article |
| author |
Mishchenko, K. Mishchenko, V. Malyarenko, A. |
| spellingShingle |
Mishchenko, K. Mishchenko, V. Malyarenko, A. Adapted downhill simplex method for pricing convertible bonds |
| author_facet |
Mishchenko, K. Mishchenko, V. Malyarenko, A. |
| author_sort |
Mishchenko, K. |
| title |
Adapted downhill simplex method for pricing convertible bonds |
| title_short |
Adapted downhill simplex method for pricing convertible bonds |
| title_full |
Adapted downhill simplex method for pricing convertible bonds |
| title_fullStr |
Adapted downhill simplex method for pricing convertible bonds |
| title_full_unstemmed |
Adapted downhill simplex method for pricing convertible bonds |
| title_sort |
adapted downhill simplex method for pricing convertible bonds |
| publisher |
Інститут математики НАН України |
| publishDate |
2007 |
| url |
http://dspace.nbuv.gov.ua/handle/123456789/4517 |
| citation_txt |
Adapted downhill simplex method for pricing convertible bonds / K. Mishchenko, V. Mishchenko, A. Malyarenko // Theory of Stochastic Processes. — 2007. — Т. 13 (29), № 4. — С. 130–147. — Бібліогр.: 5 назв.— англ. |
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AT mishchenkok adapteddownhillsimplexmethodforpricingconvertiblebonds AT mishchenkov adapteddownhillsimplexmethodforpricingconvertiblebonds AT malyarenkoa adapteddownhillsimplexmethodforpricingconvertiblebonds |
| first_indexed |
2023-03-24T08:30:32Z |
| last_indexed |
2023-03-24T08:30:32Z |
| _version_ |
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