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Critical Analysis of the Binomial-Tree approach to Convertible Bonds in the framework of Tsiveriotis-Fernandes model

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  • K. Milanov
  • O. Kounchev
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    Abstract

    In the present paper we show that the Binomial-tree approach for pricing, hedging, and risk assessment of Convertible bonds in the framework of the Tsiveriotis-Fernandes model has serious drawbacks. Key words: Convertible bonds, Binomial tree, Tsiveriotis-Fernandes model, Convertible bond pricing, Convertible bond Greeks, Convertible Arbitrage, Delta-hedging of Convertible bonds, Risk Assessment of Convertible bonds.

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    File URL: http://arxiv.org/pdf/1111.2683
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    Bibliographic Info

    Paper provided by arXiv.org in its series Papers with number 1111.2683.

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    Date of creation: Nov 2011
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    Handle: RePEc:arx:papers:1111.2683

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    Web page: http://arxiv.org/

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