Paper Title:
Defaultable Binary Tree Algorithm for Convertible Bond with Finite Maturity
  Abstract

The credit risk is introduced into the pricing model of convertible bond in this paper. The main results of paper have three aspects: (1) By modifying the dynamic motion of stock, a defaultable stock process is obtained in neutral risk measure, then the pricing model of convertible bond with finite maturity and credit is proposed. (2) The defaultable binary tree algorithm is proposed, and the convergence of algorithm is proved.

  Info
Periodical
Advanced Materials Research (Volumes 219-220)
Edited by
Helen Zhang, Gang Shen and David Jin
Pages
165-169
DOI
10.4028/www.scientific.net/AMR.219-220.165
Citation
L. Li, L. L. Wang, "Defaultable Binary Tree Algorithm for Convertible Bond with Finite Maturity", Advanced Materials Research, Vols. 219-220, pp. 165-169, 2011
Online since
March 2011
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