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

Table 2

Parameters of numerical example.

Regime	Risk-free rate	Historical volatility	Continuous dividends	Hazard rate	Recovery factor	Jump ratio
Regime 1	0.06	0.20	0.02	0.01	0.75	0.50
Regime 2	0.08	0.35	0.03	0.03	0.50	0.75