A Binomial Lattice Model of Convertible Bonds--Template

# A Binomial Lattice Model of Convertible Bonds--Template - 1...

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INPUTS Stock Convertible Bond u = 1.014 n = 12 Par value 1000 d = 0.986 vol = 0.19 Coupon rate 0.08 dt = 0.250 r = 0.05 Conversion ratio 75 p = 0.223 R = 1.012 1-p = 0.777 T = 3.00 CP = 13.33 S = 7.80 I = 0.533 dividen 0.02 div adj 0.980 Stock Price Lattice---Adjusted for Dividends n=0 n=1 n=2 n=3 n=4 n=5 n=6 n=7 n=8 n=9 n=10 n=11 n=12 A B C D E F G H I J K L M N O P Q R S T U V W X Y Z AA 1 2 3 4 5 6 7 8 9 10 11 12 13 14 15 16 17 18 19 20 21 22 23 24 25 26 27 28 29 30 31 32 33 34 35 36 37 38 39 40 41 42 43 44

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Option Prices n=0 n=1 n=2 n=3 n=4 n=5 n=6 n=7 n=8 n=9 n=10 n=11 n=12 = coupon interest payment that period. A B C D E F G H I J K L M N O P Q R S T U V W X Y Z AA 45 46 47 48 49 50 51 52 53 54 55 56 57 58 59 60 61 62 63 64 65 66 67 68 69 70 71 72 73
INPUTS Stock Convertible Bond u = 1.097 n = 12 Par value 1000 d = 0.912 vol = 0.19 Coupon rate 0.08 dt = 0.250 r = 0.05 Conversion ratio 75 p = 0.435 R = 1.01 Call price = 10.4 1-p = 0.565 T = 3.00 Hard call period 6 CP = 13.333 S = 7.80

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## This note was uploaded on 06/04/2008 for the course FIN 3500 taught by Professor Cook during the Spring '08 term at Denver.

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A Binomial Lattice Model of Convertible Bonds--Template - 1...

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