reverse convertible question

johnpax · Post by **johnpax** » Wed Nov 12, 2008 5:45 pm

using an oversimplified example...if I had a classic, vanilla reverse convertible with 70% knock-in, issued at 100 par ($1000), and with the underlying stock priced at $50 on pricing date, 6 months to maturity...how could I estimate essentially what volatility I'm selling to them/they're buying, considering the structure as long bond + short put from buyer's perspective?

Just rough, back-of-envelope calc would be great if anyone has any ideas...? Thanks -

JP

Johnny · Post by **Johnny** » Thu Nov 13, 2008 10:17 am

Crossed with replies on other thread.