From: Contingent convertible lease modeling and credit risk management
Reference
Tan and Yang (2016)
Koziol and Lawrenz (2012)
Glasserman and Nouri (2012)
Parameters
\(r = 0.06\)
\(\beta = 0.4\)
\(1-\varphi =0.05\)
\(\tau =0.15\)
\({\alpha }_{x}= 0.01\)
\({\sigma }_{x}= 0.25\)
\(w= 0.25\)
