LYON Taming

  • 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.

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