|
PureBytes Links
Trading Reference Links
|
Gerrit, thanks for the response. The technique I'm investigating
doesn't really have the flavor of arbitrage. It takes advantage of the
fact that a convertible bond will act like a bond when the stock price
is below the bond's strike price, and will act like the stock when the
stock price is above. I don't know enough about shorting stocks to be
sure, but I wonder if trading this way in institutional sizes is
possible.
-Phil in KC
Gerrit Jacobsen wrote:
>
> Phil,
>
> Arbitraging convertibles is mathmatically elaborate. The big
> investment banks run sophistiticated models to do that. Some models
> are commercially available.
>
> The arbitrage opportunities are certainly there but you need good
> execution capibilities across several markets and models that work.
>
> If you come up with something useful you better apply for job at one
> of the big the houses since the capital you need is large and the
> salary you will receive there certainly exceeds the returns you can
> achieve by doing it yourself.
>
> Gerrit
>
> > I've just heard about a hedging technique that buys convertible bonds
> > and shorts the underlying stock. I'd be interested to hear from anyone
> > who has experience, good or bad, with this type of trading.
> >
> > -Phil in KC
> >
> >
|