A Green's function for a convertible bond using the Vasicek model
type: Item
instance of: scholarly article
title: A Green's function for a convertible bond using the Vasicek model
zbMATH Open document ID: 1025.91012
DOI: 10.1155/S1110757X02203058
author: A. S. Deakin
author: R. Mallier
published in: Journal of Applied Mathematics
publication date: 2002-10-29T00:00:00Z
full work available at URL: https://eudml.org/doc/50416
review text: 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.
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 44A30
Mathematics Subject Classification ID: 44A10
zbMATH DE Number: 1821320
zbMATH Keywords: convertible bonds
zbMATH Keywords: Laplace transform
zbMATH Keywords: Mellin transform
reviewed by: Vangelis Grigoroudis
MaRDI profile type: Publication
OpenAlex ID: W1978614632
description: scientific article; zbMATH DE number 1821320