可转换债券价值确定的蒙特卡罗方法

首先对可转换债券定价的各种数值方法作了研究综述,并比较了各种方法的优点和缺陷;针对可转换债券品种价值确定过程中的特征,介绍了采用蒙特卡罗仿真算法为可转换债券定价的实施步骤,根据可转换债券持有、转股、赎回和回售等可能发生的状况,分别给出了用该方法实现定价的原理和过程.

MonteCarlo Simulation Approach on Pricing the Convertible Bonds

By comparing the differences of the three main numerical arithmetic,the paper summarizes the current research on the Convertible Bonds.According to the characters of pricing on the Convertible Bonds,the paper presents the realizing methods of the MonteCarlo simulation approach.In addition,in order to consider the convertible bonds′ situations of holding,conversion,calling and putting,the paper explains the principle and the process of each situation in pricing the Convertible Bonds.