An Intuitive Procedure to Approximate Convertible Bond Hedge Ratios and Durations

9 Pages Posted: 14 Nov 2013

See all articles by Robert Ferguson

Robert Ferguson

AnswersToGo

Robert Butman

Franklin Templeton Investments

Hans Erickson

Franklin Templeton Investments

Steven Rossiello

Franklin Templeton Investments

Date Written: September 1, 1995

Abstract

A simple and intuitive model to approximate convertible bond hedge ratios and durations can help investors understand how these securities can be hedged and how more complex models work.

Keywords: convertible bond hedge ratios, convertible bond durations

JEL Classification: G10,G13

Suggested Citation

Ferguson, Robert and Butman, Robert and Erickson, Hans and Rossiello, Steven, An Intuitive Procedure to Approximate Convertible Bond Hedge Ratios and Durations (September 1, 1995). Journalof Portfolio Management, Vol. 22, No. 1, 1995. Available at SSRN: https://ssrn.com/abstract=2353670

Robert Ferguson (Contact Author)

AnswersToGo ( email )

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Robert Butman

Franklin Templeton Investments ( email )

Multi Asset Strategies
United States

Hans Erickson

Franklin Templeton Investments ( email )

Multi Asset Strategies
United States

Steven Rossiello

Franklin Templeton Investments

Multi Asset Strategies
United States

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