A Green′s function for a convertible bond using the Vasicek model
| Autor: | R. Mallier, A. S. Deakin |
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| Jazyk: | angličtina |
| Rok vydání: | 2002 |
| Předmět: | |
| Zdroj: | Journal of Applied Mathematics, Vol 2, Iss 5, Pp 219-232 (2002) |
| Druh dokumentu: | article |
| ISSN: | 1110-757X 1687-0042 1110757X |
| DOI: | 10.1155/S1110757X02203058 |
| Popis: | 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. |
| Databáze: | Directory of Open Access Journals |
| Externí odkaz: |
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