Monis, Kynex, Bloomberg, Thompson Reuters all have models. Typically some form of a binomial/trinomial tree is used, with a stochastic stock, interest rate, default process pricing the bond at each node and deriving a FV by discounting the credit spread. Many of the models use finite differences for a quick approximatation for the greeks.
The convertible valuation can viewed as a Bond + Call Option OR Stock + Put Option or a blend.
发表于 2013-8-9 09:59
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