l****u
发帖数: 84 | 1 can big cows give me some hint? | a***r
发帖数: 594 | 2 I m no big cow but I ll take a stab.
there should be a stock price cut off across which the conversion would be
exercised. far away from the cut off on one side, the bond is a bond, delta
is 0. deep enough on the other side, the bond is for sure to be converted,
so the delta equals the conversion ratio.
in between is a grey area. maybe you can build a merton type of model. you
have the spot price, vol, credit spread to work with. so you can build a log
normal process and calibrate a default barr
【在 l****u 的大作中提到】
: can big cows give me some hint?
| T******r
发帖数: 257 | 3
delta
log
but
lognormal with a jump to zero when default.
calibrated to vanillas and risky bond or CDS
PDE is recommended.
【在 a***r 的大作中提到】
: I m no big cow but I ll take a stab.
: there should be a stock price cut off across which the conversion would be
: exercised. far away from the cut off on one side, the bond is a bond, delta
: is 0. deep enough on the other side, the bond is for sure to be converted,
: so the delta equals the conversion ratio.
: in between is a grey area. maybe you can build a merton type of model. you
: have the spot price, vol, credit spread to work with. so you can build a log
: normal process and calibrate a default barr
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