Adapted Downhill Simplex Method for Pricing Convertible Bonds

zbMath1164.62083arXiv0710.0241MaRDI QIDQ3608283

Anatoliy Malyarenko, Volodymyr Mishchenko, Kateryna Mishchenko

Publication date: 28 February 2009

Full work available at URL: https://arxiv.org/abs/0710.0241

zbMATH Keywords

Monte Carlo simulationoptimal strategiesminimax optimization problem

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax problems in mathematical programming (90C47) Numerical optimization and variational techniques (65K10)

This page was built for publication: Adapted Downhill Simplex Method for Pricing Convertible Bonds