Open main menu
Home
Random
Recent changes
Special pages
Community portal
Preferences
About Wikipedia
Disclaimers
Incubator escapee wiki
Search
User menu
Talk
Dark mode
Contributions
Create account
Log in
Editing
Convertible arbitrage
(section)
Warning:
You are not logged in. Your IP address will be publicly visible if you make any edits. If you
log in
or
create an account
, your edits will be attributed to your username, along with other benefits.
Anti-spam check. Do
not
fill this in!
== Controversy == In the past, most people in the market believed that convertible bond arbitrage was mainly due to convertible underpricing.<ref>{{cite journal |last1=Ammann |first1=Manuel |last2=Kind |first2=Axel |last3=Wilde |first3=Christian |title=Are Convertible Bonds Underpriced?: An Analysis of the French Market |journal=Journal of Banking and Finance |date=2003 |volume=27 |issue=4 |pages=635β653 |doi=10.1016/S0378-4266(01)00256-4 |ssrn=268470 }}</ref> However, recent studies find empirical evidence that convertible bonds usually generate relatively large positive gammas that can make delta-neutral portfolios highly profitable. Other research suggests that arbitrageurs in general take advantage of illiquidity and higher volatility.
Edit summary
(Briefly describe your changes)
By publishing changes, you agree to the
Terms of Use
, and you irrevocably agree to release your contribution under the
CC BY-SA 4.0 License
and the
GFDL
. You agree that a hyperlink or URL is sufficient attribution under the Creative Commons license.
Cancel
Editing help
(opens in new window)