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### Pricing of convertible bonds

I'm trying to evaluate a convertible bond using the structural approach : the price of convertible bond is an option (call) on the firm value. We suppose that the firm value is equal to the sum of the ...
315 views

### A question about pricing convertible bond with two different underlying assets

I have a question regarding the pricing of convertible bond. If I value the convertible bond with two different underlying assets, how can I incorporate two volatility and the correlation in the ...
329 views

### Why does the price of a convertible bond go up if the CDS spread goes up?

Looking at convertible bond prices in a commercial pricing tool, which is based on a model of Black-Scholes volatility plus a Poisson process of jump to default, I noticed that increasing the spread ...
370 views

### How to calculate conversion parity for convertible bond?

Can someone explain how can I calculate the parity of this convertible bond? I know the formula is Current price of common stock x Conversion Ratio, but it doesn't seem to be right in this picture.
11k views

### How do I calculate the delta of a convertible bond?

How can I find the delta of a convertible bond to be used for hedging?
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### Cheapness indicator for Convertibles Bonds

What indicator (or combination of those) could be used to roughly estimate the cheapness of a convertible bonds ? Like the price/earning ratio for equities. Thanks, Max.
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### VIX For Convertible Bonds

Is there something similar to the VIX but related to the convertibles bonds market in the U.S. ? Thanks, Max.
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### Convertible bonds market data

My question is twofold. First, what are the key informations used to describe a convertible bond market ? I'm thinking about market size, conversion rate, appropriate index, ... Second, where to ...
136 views

### Discount rate, convertible debt and the effect of time

The way I understand it is that there are three main parameters to a convertible debt investment. An investment amount A discount rate A trigger event Now under most of the examples I have seen, ...
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### How can dividend protection be considered in the binomial model in pricing the convertible bond?

If the convertible bond has dividend-protection, how can we cater it in the binomial model? If there is dividend protection at or above 1%, can we impose input of dividend yield of 1% in the ...
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### How is the redemption right on delisting of underlying shares held by holder in the convertible bond valued?

As title, If there is no delisting constraint, then I can treat the redemption right as the put right on the convertible bond. If there is redemption right on delisting, what is the conventional ...
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### What is the difference between the methods (listed in content) in pricing convertible bond?

To price the convertible bond, one of the models is the bond plus equity option method. That is, the value of convertible bonds is evaluated by finding the value of the straight bond and the value of ...
13k views

### What is the difference between convertible bond and bond with warrant?

One site suggested the difference is that the warrant in the bond with warrant is a fixed price on company stock. E.g. for a \$1000 bond, you can buy 500 shares at \$2 each. And that convertible bonds ...
1k views

### Which risk-free rate to use to price a bond issued in one currency but convertible into equity in another?

A convertible bond denominated in USD is issued by an Indian company (with equity traded in INR). The bond will be repaid in USD and if converted into equity in the company, the conversion price will ...