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

[摘要] We consider a convertible security where the underlying stockprice obeys a lognormal random walk and the risk-freerate is given by the Vasicek model. Using a Laplace transform intime and a Mellin transform in the stock price, we derive aGreen′s function solution for the value of the convertible bond.

[学科分类] 应用数学