Estimating Credit Risk Premium from Convertible Bond Market
碩士 === 東吳大學 === 商用數學系 === 95 === This study constructs the convertible bond pricing model by incorporating Hull and White (1990) stochastic interest rate process. Moreover, combining the KMV credit risk model and using Taiwan convertible bond markets whose volume of trade is active, we can extract...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | en_US |
| Published: |
2007
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| Online Access: | http://ndltd.ncl.edu.tw/handle/26384562393001277122 |