Binary Tree Pricing to Convertible Bonds with Credit Risk under Stochastic Interest Rates

Table 3

Default rate of corporate bonds under constant volatility interest rate model.

Time period	0-1 (𝜆1)	1-2 (𝜆2)	2-3 (𝜆3)	3-4 (𝜆4)
Default rate	0.0271	0.0394	0.0342	0.0737