LYON Taming
- Abstract
- Full Text PDF
- Author(s): JOHN J. McCONNELL, EDUARDO S. SCHWARTZ
- Published: Apr 30, 2012
- Pages: 561-576
- DOI: 10.1111/j.1540-6261.1986.tb04516.x
ABSTRACT
A Liquid Yield Option Note (LYON) is a zero coupon, convertible, callable, puttable bond. This paper presents a simple contingent claims pricing model for valuing LYONS and uses the model to analyze a specific LYON issue.