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An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model
Joint Authors
Source
Journal of Applied Mathematics
Issue
Vol. 2010, Issue 2010 (31 Dec. 2010), pp.1-5, 5 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2010-02-01
Country of Publication
Egypt
No. of Pages
5
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Deakin, A. S.& Davison, Matt. 2010. An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model. Journal of Applied Mathematics،Vol. 2010, no. 2010, pp.1-5.
https://search.emarefa.net/detail/BIM-458533
Modern Language Association (MLA)
Deakin, A. S.& Davison, Matt. An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model. Journal of Applied Mathematics No. 2010 (2010), pp.1-5.
https://search.emarefa.net/detail/BIM-458533
American Medical Association (AMA)
Deakin, A. S.& Davison, Matt. An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model. Journal of Applied Mathematics. 2010. Vol. 2010, no. 2010, pp.1-5.
https://search.emarefa.net/detail/BIM-458533
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-458533