Improved control variable methods of Monte Carlo simulation for pricing convertible bonds

In this paper, according to the path-dependence and American-Style option characteristic of convertible bonds, we will research and analysis Monte Carlo simulation methods for pricing convertible bonds by using improved control variable methods of Monte Carlo simulation. Firstly, the basic principle and algorithm illustration of Rasmussen control variable methods of Monte Carlo simulation for pricing American-Style options are analysised and discussed. On the basic of the above analysis, we will propose an analysis framework of Rasmussen control variable methods of Monte Carlo simulation for pricing convertible bonds. Lastly, we give a practical simulation through LYON bonds. The conclusion of this paper is that Rasmussen control variable methods of Monte Carlo simulation is an very effective methods for pricing convertible bonds and that the use of Moment Maching technique will improve greatly its effectiveness.