-
Three Factor Convertible Bond Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Options (Finance), Derivative securities
- Item Type:
- Essay
- Tag(s):
- convertible bond, bond valuation
- Permanent URL:
- https://doi.org/10.17613/ggfg-jm22
- Abstract:
- We propose a model for pricing a convertible bond (CB) where the issuer’s stock price is possibly denominated in a different currency from the bond’s coupon currency. We use a three factor, trinomial tree based model for pricing the CB.
- Notes:
- https://finpricing.com/lib/EqConvertible.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 8 months ago
- License:
- Attribution
threefactorconvertible.pdf