Critical Analysis of the Binomial-Tree Approach to Convertible Bonds in the Framework of Tsiveriotis-Fernandes Model
BISAM; Bulgarian Academy of Sciences, Institute of Mathematics and Informatics
Bulgarian Academy of Sciences; University of Bonn - IZKS
October 24, 2011
In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks.
Number of Pages in PDF File: 25
Keywords: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Greeks, Convertible Arbitrage, Delta-hedging of Convertible bonds, Risk Assessment of Convertible bonds
JEL Classification: G12, G10, G13
Date posted: October 22, 2011 ; Last revised: October 9, 2012
© 2016 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollobot1 in 1.579 seconds