ciao Riquino,
benvenuto!
purtroppo per te non ho una laurea in economia..e allora ho fatto un poco di 'google around' , è questa una delle formule che vuoi applicare?
CONVERTIBLE BOND PRICING MODEL
Abukar M Ali
This model is based on Espen Gaarder Haage's model which was originally developed by Goldman-Sachs.
This Model is reproduced for educational purposes only and is intended to assist individuals
in learning how convertible bonds work and are priced.
Model Description: The stock price process on each node on the tree is assumed to follow the following process:
u = e^q*sqrt*dt for up movement. Q is the stock volatility, and dt is the time change. The down movement of the tree is assumed to = 1/u Assuming annual stock price move from each node, we are pricing the stock from t=0 and moving forward through the tree till t=5. At node 4 (t=4), the stock price is equal to: St*u^4 for the top node, St*u^3*d, etc.And the probability for the up and down movements are assumed to be:
P = (e^r*td - d)/(u - d) for up movement and (1-p) for down movement.