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Convertible bonds fair value

Fair Value of a Convertible Bond The Binomial Model... [Pg.288]

The fair price of a convertible bond is the one that provides no opportunity for arbitrage profit that is, it precludes a trading strategy of running simultaneous but opposite positions in the convertible and the underlying equity in order to realize a profit. Under this approach we consider now an application of the binomial model to value a convertible security. Following the usual conditions of an option pricing model such as Black-Scholes (1973) or Cox-Ross-Rubinstein (1979), we assume no dividend payments, no transaction costs, a risk-free interest rate, and no bid-offer spreads. [Pg.288]

See other pages where Convertible bonds fair value is mentioned: [Pg.287]    [Pg.288]    [Pg.280]    [Pg.29]    [Pg.456]    [Pg.280]    [Pg.280]    [Pg.389]    [Pg.596]    [Pg.244]   
See also in sourсe #XX -- [ Pg.288 , Pg.297 ]



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Fair Value of a Convertible Bond The Binomial Model

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