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

Table 1

Constant volatility interest rate parameters.

Deadline year(s); 𝑡	Price of bonds (yuan); 𝑃(𝑡)	Volatility of short-term interest rate (%); 𝜎(𝑡)	Annual profit rate of bonds (%); 𝑦(𝑡)	1-year long-term interest rate (%); 𝑓(𝑡)	Variance 𝜎^2(∑^𝑡𝑗=1𝑟(𝑗))	Sum of Delta (%); ∑^𝑡−1𝑗=1𝛿(𝑗)	Delta; (%); 𝛿(𝑡)	Drift item; (%); 𝜇(𝑡)	Sum of drift items (%); ∑^𝑡−1𝑗=0𝜇(𝑗)	Expectation (%); 𝐸^𝑄0[𝑟(𝑡)]
0		1.6		6.145		0.0128	0.0128	0.4548	0.4548	6.145
1	0.9404		6.145	6.587	0.000256	0.0512	0.0384	1.2304	1.6852	6.5998
2	0.8805		6.366	7.779	0.00128	0.1152	0.064	−0.414	1.2712	7.8302
3	0.8146		6.837	7.301	0.003584	0.2048	0.0896			7.4162
4	0.7572		6.953		0.00768