Two-Factor Tree Model for Pricing Convertible Bonds with Default Risk
碩士 === 國立臺灣大學 === 財務金融學研究所 === 96 === Our research tries to improve the convertible bond pricing model proposed by Donald R Chambers & Qin Lu (2007). They considered equity and interest rate risk using the Cox-Ross-Rubinstein (CRR) equity tree and Ho-Lee interest rate tree, and also modeled defa...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2009
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| Online Access: | http://ndltd.ncl.edu.tw/handle/46309179758524758578 |