How can I find the delta of a convertible bond to be used for hedging?
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How do I calculate the delta of a convertible bond?
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asked Apr 26 '11 at 0:25
tshauck
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Well, it takes a little more information than you've provided, but here are links to a pdf and associated excel spreadsheet that should help you answer your question.
answered Apr 26 '11 at 5:00
Tangurena
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Tangurena's answer and links give the right idea. You can get a rough approximation by finding the conversion price $K$ and using that $K$ as the strike in a standard Black-Scholes option pricer.
In practice, most people work with 3rd party models such as the ones built into Bloomberg, Monis, or Kynex.
answered Apr 26 '11 at 18:59
Brian B
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How do I calculate the delta of a convertible bond?
up vote
14
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How can I find the delta of a convertible bond to be used for hedging?
asked Apr 26 '11 at 0:25
tshauck
5652 gold badges5 silver badges9 bronze badges
5652 gold badges5 silver badges9 bronze badges
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Well, it takes a little more information than you've provided, but here are links to a pdf and associated excel spreadsheet that should help you answer your question.
answered Apr 26 '11 at 5:00
Tangurena
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4621 gold badge6 silver badges15 bronze badges
There is no simple formula, as you may gather from the pdf Tangurena gave you. - quant_dev Apr 26 '11 at 18:03
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