A generalized algorithm for duration and convexity of option-embedded bonds: a correction

Ghassem A. Homaifar and Frank A. Michello

Applied Economics Letters, 2020, vol. 27, issue 6, 459-460

Abstract: This note is intended to clarify an error in our first definition involving the valuation of the convertible callable as a portfolio of a long pure convertible bond and a short call in Homaifar and Michello (2018).

Date: 2020
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DOI: 10.1080/13504851.2019.1631436

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