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

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...

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Bibliographic Details
Main Authors: R. Mallier, A. S. Deakin
Format: Article
Language:English
Published: Wiley 2002-01-01
Series:Journal of Applied Mathematics
Online Access:http://dx.doi.org/10.1155/S1110757X02203058
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