Exercise 11.1.10 (1) Replicate the zero-coupon CB with zero-coupon bonds and European calls on a fraction of
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Exercise 11.1.10 (1) Replicate the zero-coupon CB with zero-coupon bonds and European calls on a fraction of the total value of the corporation. (2) Replicate the zero-coupon CB with zero-coupon bonds and warrants. (3) Show that early conversion is not optimal.
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ISBN: 9780521781718
1st Edition
Authors: Yuh-Dauh Lyuu
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