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 unde...
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| Дата: | 2007 |
|---|---|
| Автори: | , , |
| Формат: | Стаття |
| Мова: | Англійська |
| Опубліковано: |
Інститут математики НАН України
2007
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| Онлайн доступ: | https://nasplib.isofts.kiev.ua/handle/123456789/4517 |
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| Назва журналу: | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| 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. |
Репозитарії
Digital Library of Periodicals of National Academy of Sciences of Ukraine| _version_ | 1862570498244739072 |
|---|---|
| author | Mishchenko, K. Mishchenko, V. Malyarenko, A. |
| author_facet | Mishchenko, K. Mishchenko, V. Malyarenko, A. |
| 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. |
| collection | DSpace DC |
| 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.
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| first_indexed | 2025-11-26T02:44:54Z |
| format | Article |
| fulltext | |
| id | nasplib_isofts_kiev_ua-123456789-4517 |
| institution | Digital Library of Periodicals of National Academy of Sciences of Ukraine |
| issn | 0321-3900 |
| language | English |
| last_indexed | 2025-11-26T02:44:54Z |
| publishDate | 2007 |
| publisher | Інститут математики НАН України |
| record_format | dspace |
| spelling | Mishchenko, K. Mishchenko, V. Malyarenko, A. 2009-11-24T15:30:38Z 2009-11-24T15:30:38Z 2007 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 https://nasplib.isofts.kiev.ua/handle/123456789/4517 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. en Інститут математики НАН України Adapted downhill simplex method for pricing convertible bonds Article published earlier |
| spellingShingle | Adapted downhill simplex method for pricing convertible bonds Mishchenko, K. Mishchenko, V. Malyarenko, A. |
| title | 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_short | Adapted downhill simplex method for pricing convertible bonds |
| title_sort | adapted downhill simplex method for pricing convertible bonds |
| url | https://nasplib.isofts.kiev.ua/handle/123456789/4517 |
| work_keys_str_mv | AT mishchenkok adapteddownhillsimplexmethodforpricingconvertiblebonds AT mishchenkov adapteddownhillsimplexmethodforpricingconvertiblebonds AT malyarenkoa adapteddownhillsimplexmethodforpricingconvertiblebonds |