As previously announced, the January edition of PrefLetter discussed the pricing of embedded options:

The January edition contains an appendix examining the calculation of Implied Volatility for PerpetualDiscount preferred shares and a discussion of the model and its applicability for portfolio management.

A calculator was developed to accompany this article and is available for download, with the permanent link under “On-Line Resources” in the right hand panel.

As always, I recognize that improvements are possible. If anybody sends me an improvement which I incorporate into the version of the spreadsheet published here, rest assured that this contribution will be fully credited.

**Update, 2010-3-22**: More issues now incorporated on spreadsheet.

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