Abstract
The present paper values callable and redeemable convertible bonds by means of two of the most modern and efficient simulation methodologies for derivative pricing: Least Squares Monte Carlo (LSM) and Grant, Vora & Weeks (GVW). An attempt was made at the evaluation of the efficiency of the Monte Carlo Simulation Methodology considering its more recent features applicable to derivative pricing. A major challenge in this paper was the use of these two models in the valuation of complex convertible bonds, given that both were originally developed and used by their authors for regular American options. Therefore, the models were applied, and their results were compared to those
Published Version
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