Pricing Chinese Convertible Bonds with Default Intensity by Monte Carlo Method

Table 3

Parameters of the CEB and XIG convertible bonds. “” (hundred million) stands for the equity value of the firm at issuing date, “” the long-term mean volatility of the underlying stock before issuing date, “” the 6-year risk-free interest rate at the issuing date, “” the 6-year risky interest rate at the issuing date, “” the volatility of the firm asset value, and “” the cumulative default probability.

CEB	1918.5	0.2672	0.03158	0.04514	0.236	0.0007
XIG	106.5	0.4155	0.02780	0.03716	0.3447	0.0766