Duration and Convexity of Zero-Coupon Convertible Bonds - UMM

Schwartz (1980) to value a zero-coupon convertible corporate bond, from which we derive its duration and convexity. We will begin the analysis (Section II) with the duration and convexity of a zero-coupon convertible bond, a comparison with a straight (non-convertible) bond, and the response to parameter value changes. In Section III, we will ................
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