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

R.  Mallier; A. S. Deakin

doi:10.1155/S1110757X02203058

Journal of Applied Mathematics (Jan 2002)

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

R. Mallier,
A. S. Deakin

Affiliations

R. Mallier: Department of Applied Mathematics, The University of Western Ontario, London N6A 5B7, Ontario, Canada
A. S. Deakin: Department of Applied Mathematics, The University of Western Ontario, London N6A 5B7, Ontario, Canada

DOI: https://doi.org/10.1155/S1110757X02203058
Journal volume & issue: Vol. 2, no. 5
pp. 219 – 232

Abstract

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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.

Published in Journal of Applied Mathematics

ISSN: 1110-757X (Print); 1687-0042 (Online)
Publisher: Wiley
Country of publisher: United Kingdom
LCC subjects: Science: Mathematics
Website: https://onlinelibrary.wiley.com/journal/4185

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