An Intuitive Procedure to Approximate Convertible Bond Hedge Ratios and Durations

Robert A Ferguson; Robert E. Butman; Hans L. Erickson; Steven Rossiello

doi:10.3905/jpm.1995.409539

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An Intuitive Procedure to Approximate Convertible Bond Hedge Ratios and Durations

Robert A Ferguson, Robert E. Butman, Hans L. Erickson and Steven Rossiello

The Journal of Portfolio Management Fall 1995, 22 (1) 103-111; DOI: https://doi.org/10.3905/jpm.1995.409539

Robert A Ferguson

An associate professor at Fordham University's Graduate School of Business in New York (NY 10025).

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Robert E. Butman

President of Templeton Quantitative Advisors in New York (NY 10019).

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Hans L. Erickson

Senior vice president at Templeton Quantitative Advisors in New York (NY 10019).

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Steven Rossiello

An investment analyst at Templeton Quantitative Advisors in New York (NY 10019).

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vol. 22 no. 1 103-111

DOI

https://doi.org/10.3905/jpm.1995.409539

Published By

Pageant Media Ltd

Print ISSN

0095-4918

Online ISSN

2168-8656

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An Intuitive Procedure to Approximate Convertible Bond Hedge Ratios and Durations

Robert A Ferguson, Robert E. Butman, Hans L. Erickson, Steven Rossiello

The Journal of Portfolio Management Oct 1995, 22 (1) 103-111; DOI: 10.3905/jpm.1995.409539

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An Intuitive Procedure to Approximate Convertible Bond Hedge Ratios and Durations

Robert A Ferguson, Robert E. Butman, Hans L. Erickson, Steven Rossiello

The Journal of Portfolio Management Oct 1995, 22 (1) 103-111; DOI: 10.3905/jpm.1995.409539

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