Ohtake, Fuminobu; Oda, Nobuyuki; Yoshiba, Toshinao - In: Monetary and Economic Studies 17 (1999) 2, pp. 47-89
Valuation of the conversion option is essential in analyzing the market price of a convertible bond. In this paper, we use a binomial tree pricing model to derive the implied volatility of the conversion option from the past price information (time-series data for individual issues) in the...
