The Valuation of Convertible Notes Using a Binomial Model

Business Valuation UpdateVol. 26 No. 10
October 2020
Anthony Banks, ASA
Taylor Rosanova, CFA
valuation methods & approaches
financial instruments, debt, statistics, debt valuation


The authors’ research reveals that there are numerous articles, chapters, and models with bad math, bad equations, notational errors, or undisclosed rounding in some equations. They present a version of the Goldman Sachs binomial model and suggest that valuators provide fully functional binomial models when requested so that reviewers can “look under the valuator’s hood.”