Pricing Convertible Bonds with Credit Risk under Regime Switching and Numerical Solutions

Table 1

Data for numerical example.

Face value	100
Coupon payments	2% annually
Conversion ratio	10
Maturity	5 years
Conversion period	1–5 years
Put period	2–5 years
Put price	103
Call period	2–5 years
Call Price	110
Amount of share	100 million
Amount of convertible bonds	1 million
Debt before convertible bonds	400 million