A generalized algorithm for duration and convexity of option-embedded bonds: a correction: Applied Economics Letters: Vol 27, No 6

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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).

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

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

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