Pricing Moving Window Parisian Option and Applications in Convertible Bonds

被引：2

作者：

Guo, Dongmei ^{[1
,2
]}

Song, Bin ^{[3
]}

Wang, Shouyang ^{[2
]}

Zhang, Bingjie ^{[3
]}

机构：

[1] Cent Univ Finance & Econ, Sch Econ, Beijing 100081, Peoples R China

[2] Chinese Acad Sci, Acad Math & Syst Sci, Beijing 100864, Peoples R China

[3] Central Univ Finance & Econom, Sch Management Sci & Engn, Beijing 100081, Peoples R China

来源：

2013 INTERNATIONAL CONFERENCE ON COMPUTATIONAL SCIENCE | 2013年 / 18卷

关键词：

Parision options; hitting time simulation; moving window; Monte Carlo method; Convertible Bonds; BROWNIAN EXCURSIONS;

D O I：

10.1016/j.procs.2013.05.335

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

Parisian options are complex path-dependent options developed by barrier option. Moving window Parisian options are higher path-dependent options, which are widely used in the field of convertible bonds in recent years. In this work we propose to price moving window Parisian option by use of hitting time. A simulation algorithm of the pricing is presented. As an application, we provide the pricing equations of convertible bonds with reset clause. Furthermore our simulation method is applied to price convertible bonds with reset clause using the data in China mainland stock exchange. The results show that this algorithm can undoubtedly improve the accuracy of the convertible bonds pricing. (C) 2013 The Authors. Published by Elsevier B.V. Selection and peer review under responsibility of the organizers of the 2013 International Conference on Computational Science

引用

页码：1674 / 1683

页数：10

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