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

Table 2

Time-varying 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	1.5	6.145	6.587	0.000256	0.0465	0.0337	1.2257	1.6805	6.5998
2	0.8805	1.2	6.366	7.779	0.001186	0.0768	0.0303	−0.4477	1.2328	7.8255
3	0.8146	1.3	6.837	7.301	0.002722	0.1404	0.0636			7.3778
4	0.7572		6.953		0.00553