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Hull-White Convertible Bond Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Derivative securities, Pricing
- Item Type:
- Essay
- Tag(s):
- convertible bond, hull white model
- Permanent URL:
- https://doi.org/10.17613/s7jv-vz49
- Abstract:
- Based on the Hull-White single-factor tree building approach, respective trinomial trees are constructed for the short-term interest rate and stock’s price processes. Using the Hull-White two-factor tree building procedure, a combined tree is constructed by matching the mean, variance and correlation corresponding to each combined tree node. The convertible bond price is given from the combined tree by backward induction.
- Notes:
- https://finpricing.com/lib/EqConvertible.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 7 months ago
- License:
- Attribution
- Share this:
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hwconvertible.pdf