"I'll come up with some maths that shows returns of the delta hedge if anyone is keen to see it."
It took me a while to work out the mechanics of the deal, but I finally figured it out.
However, I'm still struggling to put myself in the financial position of the fully-hedged note holder.
So if you have the investment return maths readily at hand, I'd appreciate seeing it.
Under what condition(s) will the strategy not be profitable?
Ann: Convertible Note Offering, page-18
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