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主要针对可转换债券的路径依赖和美式期权特征,运用控制变量改进技术,对可转换债券定价的蒙特卡罗模拟方法进行研究分析.首先,对美式期权蒙特卡罗模拟的Rasmussen控制变量技术的基本原理和算法进行系统分析和讨论;在此基础上,提出了可转换债券价格蒙特卡罗模拟的Rasmussen控制变量技术分析框架;最后,通过一类应用比较广泛的LYON债券进行了详细的实证模拟分析.研究结论认为:蒙特卡罗模拟的Rasmussen控制变量技术对可转换债券定价的应用取得了比较理想的效果,而使用矩匹配方法则能进一步改进其应用效果.
Mainly on the path dependence of convertible bonds and the features of American options, this paper analyzes and studies the Monte Carlo simulation method of convertible bond pricing by using the control variable improvement technology.Firstly, the basic of the Rasmussen control variable technology of the American option Monte Carlo simulation Principle and algorithm of system analysis and discussion. Based on this, a Rasmussen control variable technical analysis framework of convertible bond price Monte Carlo simulation is put forward. Finally, a detailed empirical analysis is carried out through a kind of LYON bond which is widely used. The conclusion of the study is that the Monte Carlo simulation of Rasmussen control variables technology has achieved a satisfactory result for the application of convertible bond pricing, and the use of moment matching method can further improve its application effect.