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

DOI10.1155/S1110757X02203058zbMath1025.91012OpenAlexW1978614632MaRDI QIDQ1848018

A. S. Deakin, Roland Mallier

Publication date: 29 October 2002

Published in: Journal of Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/50416

zbMATH Keywords

Laplace transformMellin transformconvertible bonds

Mathematics Subject Classification ID

Laplace transform (44A10) Multiple integral transforms (44A30)

Related Items (4)

Pricing options with Green's functions when volatility, interest rate and barriers depend on time ⋮ A very fast and accurate boundary element method for options with moving barrier and time-dependent rebate ⋮ Risk-neutral valuation of participating life insurance contracts in a stochastic interest rate environment ⋮ An analytic solution for a Vasicek interest rate convertible bond model

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