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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