This is a Numerical Method for pricing European and American Options
The assets supported are Stock and Bond assuming the underlying asset is lognormally distributed
The model here uses a variable credit adjusted discount rate.
A convertible bond can be regarded as a combination of a stock option and a plain bond.
If the stock price is far below the conversion (strike) price the convertible behaves like a vanilla bond.
If the stock price is far above the conversion (strike) price the convertible behaves like a stock.
When the convertible is deep out of the money the future cash flows should be discounted by a rate that takes into
account the credit spread above the treasury rate of the particular bond.
If the convertible is deep in the money it is almost certain to be converted and the cash flows should be discounted
at the risk-free rate.
Goldman-Sachs (1993) has incorporated these effects by using a discounting rate that is a function of a variable conversion probability.
Pricing Models Page Available is a Swing Java Jar File if you just wish to run the models.