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, issue 5, 219-232

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
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https://doi.org/10.1155/S1110757X02203058

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Persistent link: https://EconPapers.repec.org/RePEc:wly:jnljam:v:2:y:2002:i:5:p:219-232

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