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.
Citation
A. S. Deakin. Matt Davison. "An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model." J. Appl. Math. 2010 1 - 5, 2010. https://doi.org/10.1155/2010/263451
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