Main category
Economics (General Management)
Abstract
A convertible bond with exchangeable feature, which can be converted into a stock issued by a party different from the bond issuer. Assume that the stock conversion is vulnerable. If the bond-issuer has defaulted by a time, t , then the stock price is zero. If, on the other hand, the bond-issuer has not defaulted by time t , then the stock price is given by St or 0.
Further reading
https://ia904704.us.archive.org/21/items/exchangeable-convertible/ExchangeableConvertible.pdf
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