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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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2 Answers
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.
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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.
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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?
7652 gold badges6 silver badges10 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.
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