Using the assumptions of Example 16.3, suppose you were to perform a naive valuation of the convertible

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Using the assumptions of Example 16.3, suppose you were to perform a "naive" valuation of the convertible as a risk-free bond plus 50 call options on the stock. How does the price you compute compare with that computed in the example?

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Derivatives Markets

ISBN: 978-0321280305

2nd Edition

Authors: Robert L. McDonald

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