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The aim of paper is to use Genetic algorithm and Monte Carlo to price convertible bond with finite maturity. As we known, Monte Carlo is hardly applied to price the derivatives with optimal items. Combined with Genetic algorithm and Cubic sample function, Monte Carlo not only solves the convertible bond with optimal conversion items, but also prices that with long-range dependence property. By evaluating...
Long range persistence has been observed in many fields. A variety of methods have been proposed to estimate Hurst index of non-stationary and stationary process, which has power- law decay. In this paper, non-stationary process (fractional Brownian motion) is transformed to a stationary process and the autocorrelation decay exponentially by using discrete wavelet transformation. Then a novel unbiased...
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