Main category
Economics (General Management)
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. Here FP constructs three independent trinomial trees, which are then combined into a three-factor tree
Further reading
https://ia804703.us.archive.org/1/items/threeFactorConvertible/threeFactorConvertible.pdf
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