What is the best method or financial model to use when putting a value on convertible debentures?作者: IAmNeil 时间: 2013-8-9 09:59
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.作者: strikethree 时间: 2013-8-9 10:00
I personally like Crystal Ball’s (I believe a Cisco product) excel add-in which Monte Carlo’s binomial/trinomial trees.
