A Green′s function for a convertible bond using the Vasicek model

R. Mallier; A. S. Deakin

doi:10.1155/S1110757X02203058

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22 September 2002 A Green′s function for a convertible bond using the Vasicek model

R. Mallier, A. S. Deakin

J. Appl. Math. 2(5): 219-232 (22 September 2002). DOI: 10.1155/S1110757X02203058

Abstract

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.

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R. Mallier. A. S. Deakin. "A Green′s function for a convertible bond using the Vasicek model." J. Appl. Math. 2 (5) 219 - 232, 22 September 2002. https://doi.org/10.1155/S1110757X02203058