文献类型：会议论文

英文题名：Defaultable Binary Tree Algorithm for Convertible Bond with Finite Maturity

作者：Li, Lin[1];Wang, Lele[2]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]Shanghai Secur Co Ltd, Dept Fund Res, Shanghai 200001, Peoples R China

会议论文集：International Conference on Information Science, Automation and Material System

会议日期：MAY 21-22, 2011

会议地点：Zhengzhou, PEOPLES R CHINA

语种：英文

外文关键词：credit risk; default intensity; convertible bond; variational inequity equation; binary tree

摘要：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.