Convertible Bond Embedded Option - Quant Trader Interview Question
Difficulty: Hard
Category: Algorithms & Data Structures
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Topics: convertible-bond, option-pricing, fixed-income, financial-modeling
Problem Description
A convertible bond grants the holder the right, but not the obligation, to convert the bond into a predetermined number of shares of the issuer's common stock. Consider a scenario where you are tasked with pricing a convertible bond. From an option pricing perspective, a convertible bond can be viewed as a straight bond plus what embedded option?
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