在利率股價具相關性下考慮會違約可轉換公司債的三元樹評價模型

Abstract

Abstract This thesis discusses the pricing of convertible bonds, especially when the correlation of interest rate and stock price should be considered. In addition, I also take default risk into consideration. The interest rate model considered in the thesis follows the Hull-White tree model to fit initial term structure and limited upside or downside bound on interest rate tree, and the stock tree process is simulated by the trinomial tree model in Kamrad and Ritchken (1991). Two kinds of methods to determine the default intensity are discussed in this thesis: first is based on the credit spreads of risky corporate bonds, and the other is based on the credit migration probabilities for different credit levels. Furthermore, this thesis also ensures that the length of the time step is small enough such that the branching probabilities are valid in this model. Then I provide real numerical sensitivity analysis to see how our model behaves. At the end, I conclude and show what can be improved to our model when pricing CBs.