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To find the delta of a convertible you can apply the basic definition foe the derivative number : lim h->0, P(So+h)-P(So-h)/h, However because a lot of convertible are callable and putable you have to use this formula: P(So+h) - P(So-h) / 2h , with h=0.0001 for instance. I a not a quant but, the BlackScholes PDE does not work for convertible because the ...



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