A Robust Tree for Pricing Convertible Bonds under the Reduced Model
碩士 === 國立交通大學 === 資訊管理研究所 === 98 === This thesis extends the convertible bond pricing model proposed by Chambers and Lu (2007). They model the evolution of the stock price and the short rate process using the Cox-Ross-Rubinstein tree (1979) and Black-Derman-Toy interest rate tree (1990). The default...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2010
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| Online Access: | http://ndltd.ncl.edu.tw/handle/96868250332003963204 |