An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

A. S. Deakin and Matt Davison

Journal of Applied Mathematics, 2010, vol. 2010, issue 1

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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https://doi.org/10.1155/2010/263451

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2010:y:2010:i:1:n:263451

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