valuation-convertibles-Goldman1994

Valuation of Convertible Bonds on a Binomial Tree (E. Derman et al.)

1. Reference Paper: Convertible Bonds as derivatives priced on a Cox-Ingeersoll-Ross Binomial Tree
2. Jupyter Notebook with python implementation
3. Word doc with comparison screenshots between model and FinCAD

TODO:

• add widgets to Notebook
• sensitivity analysis

NOTE: drift mu, which is the expected return –approximated by historical returns field HIST_TRR_PREV_5YR = 12.3062%