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The yield curve is flat at 0 % . Consider the following financial assets : - A share of Company A . Company A will
The yield curve is flat at Consider the following financial assets :
A share of Company A Company A will not pay dividends for the next two years. Today's price of the share is S
A European put option on one share of company A maturity year and strike price of Today the premium for this option is P
A European call option on one share of company A maturity year and strike price of Today the premium for this option is C
Convertible Bond B which is a year maturity zerocoupon bond with face value of N Bond B has been issued by Company A and at maturity the bond holder can choose between receiving the bond face value of or converting the bond into one share of stock A
What is the no arbitrage price of the convertible Bond B
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