25 Pages Posted: 22 Oct 2011 Last revised: 9 Oct 2012
Date Written: 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.
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
Suggested Citation: Suggested Citation
Milanov, Krasimir and Kounchev, Ognyan, Critical Analysis of the Binomial-Tree Approach to Convertible Bonds in the Framework of Tsiveriotis-Fernandes Model (October 24, 2011). Available at SSRN: https://ssrn.com/abstract=1946952 or http://dx.doi.org/10.2139/ssrn.1946952