An analytic solution for a Vasicek interest rate convertible bond model (Q964034)
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scientific article; zbMATH DE number 5692903
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An analytic solution for a Vasicek interest rate convertible bond model |
scientific article; zbMATH DE number 5692903 |
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An analytic solution for a Vasicek interest rate convertible bond model (English)
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14 April 2010
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Summary: 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.
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Vasicek model
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PDE
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integral transform
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