An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model
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.
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2010-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2010/263451 |
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| _version_ | 1832549460368949248 |
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| author | A. S. Deakin Matt Davison |
| author_facet | A. S. Deakin Matt Davison |
| author_sort | A. S. Deakin |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-a64eb80bc92147f28cc1137d9f8371e2 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2010-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-a64eb80bc92147f28cc1137d9f8371e22025-02-03T06:11:13ZengWileyJournal of Applied Mathematics1110-757X1687-00422010-01-01201010.1155/2010/263451263451An Analytic Solution for a Vasicek Interest Rate Convertible Bond ModelA. S. Deakin0Matt Davison1Department of Applied Mathematics, University of Western Ontario, London, ON, N6A 5B7, CanadaDepartment of Applied Mathematics, University of Western Ontario, London, ON, N6A 5B7, CanadaThis 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.http://dx.doi.org/10.1155/2010/263451 |
| spellingShingle | A. S. Deakin Matt Davison An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model Journal of Applied Mathematics |
| title | An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model |
| title_full | An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model |
| title_fullStr | An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model |
| title_full_unstemmed | An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model |
| title_short | An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model |
| title_sort | analytic solution for a vasicek interest rate convertible bond model |
| url | http://dx.doi.org/10.1155/2010/263451 |
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