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- W1977036148 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." @default.
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- W1977036148 date "2011-03-01" @default.
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- W1977036148 title "Defaultable Binary Tree Algorithm for Convertible Bond with Finite Maturity" @default.
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- W1977036148 doi "https://doi.org/10.4028/www.scientific.net/amr.219-220.165" @default.
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