文献类型：期刊文献

英文题名：Defaultable binary tree algorithm for convertible bond with finite maturity

作者：Li, Lin[1]; Wang, Le Le[2]

机构：[1] School of Business, East China University of Science and Technology, Shanghai 200237, China; [2] Department of Fund Research, Shanghai Security Co., Ltd., Shanghai 200001, China

年份：2011

卷号：219-220

起止页码：165

外文期刊名：Advanced Materials Research

收录：EI(收录号：20111713936573)

语种：英文

外文关键词：Trees (mathematics) - Risk assessment

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. ? 2011 Trans Tech Publications.