Derive an expression for a dividend-free, zero coupon European convert, for conversion ration n, initial stock price
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Derive an expression for a dividend-free, zero coupon European convert, for conversion ration n, initial stock price S0, face value N0 risk-free rate r, flat volatility σ and flat hazard rate λ. Demonstrate that this must always be above the immediate conversion price St for any time 0 ≤ t ≤ T .
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Related Book For
The Value Of Uncertainty Dealing With Risk In The Equity Derivatives Market
ISBN: 9781848167728,9781908979582
1st Edition
Authors: George Kaye
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