33. See John Cox and Mark Rubinstein, Option Markets. Englewood Cliffs, NJ: Prentice-Hall (1985) pp. 41–43.

34. The value of a convertible in a two-factor valuation model would be represented by a three-dimensional surface with the value of the convertible on the y-axis, stock price—the first factor—on the x-axis, and interest rates—the second factor—on the z-axis. The simpler two-dimensional representation above is, therefore, a section of the pricing surface parallel to the x, y plane, at a given level of interest rate plus credit-spread, and assumes a constant volatility level. On the other hand, the volatility surface of a convertible can be graphically represented if the interest rate plus credit-spread were to be held constant, while volatility, represented on the z-axis, is assumed to change with changing stock price levels.