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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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2002-01-01
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| Series: | Journal of Applied Mathematics |
| Online Access: | http://dx.doi.org/10.1155/S1110757X02203058 |
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| _version_ | 1832563555273015296 |
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| author | R. Mallier A. S. Deakin |
| author_facet | R. Mallier A. S. Deakin |
| author_sort | R. Mallier |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-50d01e1d72bb46aaa65c05e032492f37 |
| institution | Kabale University |
| issn | 1110-757X 1687-0042 |
| language | English |
| publishDate | 2002-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Applied Mathematics |
| spelling | doaj-art-50d01e1d72bb46aaa65c05e032492f372025-02-03T01:13:08ZengWileyJournal of Applied Mathematics1110-757X1687-00422002-01-012521923210.1155/S1110757X02203058A Green′s function for a convertible bond using the Vasicek modelR. Mallier0A. S. Deakin1Department of Applied Mathematics, The University of Western Ontario, London N6A 5B7, Ontario, CanadaDepartment of Applied Mathematics, The University of Western Ontario, London N6A 5B7, Ontario, CanadaWe 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.http://dx.doi.org/10.1155/S1110757X02203058 |
| spellingShingle | R. Mallier A. S. Deakin A Green′s function for a convertible bond using the Vasicek model Journal of Applied Mathematics |
| title | A Green′s function for a convertible bond using the Vasicek model |
| title_full | A Green′s function for a convertible bond using the Vasicek model |
| title_fullStr | A Green′s function for a convertible bond using the Vasicek model |
| title_full_unstemmed | A Green′s function for a convertible bond using the Vasicek model |
| title_short | A Green′s function for a convertible bond using the Vasicek model |
| title_sort | green s function for a convertible bond using the vasicek model |
| url | http://dx.doi.org/10.1155/S1110757X02203058 |
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