A Green′s function for a convertible bond using the Vasicek model

Mallier, R.; Deakin, A. S.

J. Appl. Math., Tome 2 (2002) no. 8, p. 219-232 / Harvested from Project Euclid

Résumé

We consider a convertible security where the underlying stock price obeys a lognormal random walk and the risk-free rate is given by the Vasicek model. Using a Laplace transform in time and a Mellin transform in the stock price, we derive a Green′s function solution for the value of the convertible bond.

Publié le : 2002-05-14
Classification: 91B28, 44A30

@article{1049074916,
     author = {Mallier, R. and Deakin, A. S.},
     title = {A Green's function for a convertible bond using the Vasicek model},
     journal = {J. Appl. Math.},
     volume = {2},
     number = {8},
     year = {2002},
     pages = { 219-232},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1049074916}
}

Mallier, R.; Deakin, A. S. A Green′s function for a convertible bond using the Vasicek model. J. Appl. Math., Tome 2 (2002) no. 8, pp.  219-232. http://gdmltest.u-ga.fr/item/1049074916/