An analytic solution for a Vasicek interest rate convertible bond model

DOI10.1155/2010/263451zbMath1188.91214OpenAlexW2009049374WikidataQ58652400 ScholiaQ58652400MaRDI QIDQ964034

Matt Davison, A. S. Deakin

Publication date: 14 April 2010

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

Full work available at URL: https://eudml.org/doc/230237

zbMATH Keywords

PDEintegral transformVasicek model

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

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Cites Work

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