Monte Carlo Bounds for Game Options Including Convertible Bonds
提出了两种新方法，用蒙特卡洛模拟计算零和博弈期权的上下界，将上界对偶结果推广到双方都有百慕大期权的情况，并应用于可转换债券的定价。
We introduce two new methods to calculate bounds for zero-sum game options using Monte Carlo simulation. These extend and generalize upper-bound duality results to the case where both parties of a contract have Bermudan optionality. It is shown that the primal-dual simulation method can still be used as a generic way to obtain bounds in the extended framework, and we apply the new results to the pricing of convertible bonds by simulation. This paper was accepted by Wei Xiong, finance.