A Green's function for a convertible bond using the Vasicek model (Q1848018)
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scientific article; zbMATH DE number 1821320
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A Green's function for a convertible bond using the Vasicek model |
scientific article; zbMATH DE number 1821320 |
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A Green's function for a convertible bond using the Vasicek model (English)
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29 October 2002
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In this paper, the authors consider a convertible bond, whose value depends on both the price of the underlying stock that is assumed to obey a lognormal random walk with constant volatility, and on the interest rate that is assumed to follow a random walk given by the Vasicek model. Using a Laplace transform in time, and a Mellin transform with respect to the asset price, they derive a Green's function solution for the value of the convertible bond.
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convertible bonds
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Laplace transform
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Mellin transform
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