The company terminated an existing sales agreement with Kohlberg & Co. after it was outbid by another investment firm, Paulson & Co.
Paulson topped Kohlberg's offer by $3 per share.
Steinway, which is being taken private, will have to pay a termination fee of about $6.7 million.
Paulson will ultimately pay $40 per share for the Waltham, Mass., company. Steinway valued the sale at about $512 million.
Paulson will open a tender offer for shares of Steinway Musical Instruments Inc. within the next five days.