A Monte Carlo simulation approach for the pricing and risk management parameter of Convertible option
Shanchao Yang · Journal of Guangxi University · 2010
A Monte Carlo simulation approach for the price and risk management parameter of a kind of exotic option-convertible barrier option was proposed,and the price and risk management parameter of the new option was analyzed on call options by comparing it with the standard barrier options.The analysis result shows that this new option shares the advantages of less risk and more profit because of its convertibility and that the Monte Carlo method plays a critical role in the pricing analysis of new complicated options.