An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

作者:Deakin A S*; Davison Matt
来源:Journal of Applied Mathematics, 2010, 263451.
DOI:10.1155/2010/263451

摘要

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.

  • 出版日期2010

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