3

NIM5 , will pull up equity linked securities and you can input a date range if you toggle the Issue History radio button.


2

If you are asking whether it is possible to price path-dependent American options in tree based models, the short answer is yes. You simply construct your tree/grid and evaluate the rules in each node (analogous to what you would do in your MC simulations). These rules can be arbitrarily complex. Note, however, that you can only evaluate them at a discrete ...


2

Unfortunately, convertible bonds are quite complex so you don't have simple formulas or approaches as with vanilla bonds. However, this does not mean you are powerless. You can follow different approaches, for instance: 1) If you have a pricing model for the convertible, you can use the finite difference method (or other techniques) to get any sensitivity. ...


1

Here's my $1/50. Please be free to raise any suggestions. Don't regress the split cashflows respectively as in TF, just regress the whole continuation value instead. When the bond is in the callable period, we'll have to use all paths; Otherwise, when in the convertible period, only consider the paths where conversion value > straight bond value (or should ...


1

The usual approach to deal with path dependency in finite differences/lattices solvers is to capture the path dependency trough one or more auxiliary variable(s) that make the problem non path dependent in the augmented space, and to discretize along these auxiliary variable(s). For instance that's easily done for asian options where the path dependency is ...


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