Why would you expect that a distressed convertible would have a delta of zero?

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Bond Markets Analysis and Strategies

ISBN: 978-0133796773

9th edition

Authors: Frank J.Fabozzi

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Question Posted: Aug 22, 2015 07:41 AM

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Suppose that the price of the underlying stock for aconvertible bond is considerably higher than theconversion price. What would expect that convertiblebonds delta to be?
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Why would you expect that a distressed convertible would have a delta of zero?

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Delta ranges from 0 to 1 The delta can help descri...View the full answer

Bond Markets Analysis and Strategies

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