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An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model
A. S. Deakin and Matt Davison
Source: J. Appl. Math. Volume 2010
(2010), Article ID
263451, 5 pages.
Abstract
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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Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.jam/1267538827
Digital Object Identifier: doi:10.1155/2010/263451
Mathematical Reviews number (MathSciNet): MR2588207
Zentralblatt MATH identifier: 1188.91214
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