Suppose that a bond issued by XXX Corporation is convertible into 30 shares of common stock. The

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Suppose that a bond issued by XXX Corporation is convertible into 30 shares of common stock. The delta of this bond is 0.77. Explain how to create a long position in the XXX convertible bond that is delta neutral.

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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