An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

A. S. Deakin and Matt Davison

Journal of Applied Mathematics, 2010, vol. 2010, 1-5

Abstract:

This paper provides the analytic solution to the partial differential equation for the value of a convertible bond. The equation assumes a Vasicek model for the interest rate and a geometric Brownian motion model for the stock price. The solution is obtained using integral transforms.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:263451

DOI: 10.1155/2010/263451

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