Blar i ODA Open Digital Archive på forfatter "Ludvigsen, Tarjei"
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Valuing Convertible Bonds using Stochastic Dynamic Programming with Monte Carlo Based Regressions - An empirical study of the US convertible bond market
Ludvigsen, Tarjei; Mahmood, Osama (Master thesis, 2018)Using Monte Carlo simulation combined with least squares regression to estimate continuation values and optimal exercise decisions in a stochastic dynamic programming framework, we estimate fair price for 40 convertible ...