A Discrete Time Pricing Model for Convertible Bond under Stochastic Interest Rate
一种随机利率条件下企业可转换债券定价的离散时间方法

In consideration of volatility of both firm market value and term structure of interest rate as well as the correlation between them, this paper presents an arbitrage\|free discrete time pricing model for convertible bond. Through research on relation with continuous time model the reasonableness of this model can be proved, and parameter estimation methods can be obtained at same time. Combined with value boundary conditions of convertible bonds, this model is applicable. As a discrete time one, this model can fit the diversification of convertible bonds issue terms. It can be easily implemented on computer.