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

Table 4

Default rate of corporate bonds under time-varying volatility interest rate model.

Time period	0-1 (𝜆1)	1-2 (𝜆2)	2-3 (𝜆3)	3-4 (𝜆4)
Default rate	0.0271	0.0389	0.0348	0.0734