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

R. Mallier and A. S. Deakin

Journal of Applied Mathematics, 2002, vol. 2, 1-14

Abstract:

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.

Date: 2002
References: Add references at CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://downloads.hindawi.com/journals/JAM/2/468572.pdf (application/pdf)
http://downloads.hindawi.com/journals/JAM/2/468572.xml (text/xml)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljam:468572

DOI: 10.1155/S1110757X02203058

Access Statistics for this article

More articles in Journal of Applied Mathematics from Hindawi
Bibliographic data for series maintained by Mohamed Abdelhakeem ().