An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model. (1st February 2010)
- Record Type:
- Journal Article
- Title:
- An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model. (1st February 2010)
- Main Title:
- An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model
- Authors:
- Deakin, A. S.
Davison, Matt - Other Names:
- Spreij Peter Academic Editor.
- Abstract:
- Abstract : 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.
- Is Part Of:
- Journal of applied mathematics. Volume 2010(2010)
- Journal:
- Journal of applied mathematics
- Issue:
- Volume 2010(2010)
- Issue Display:
- Volume 2010, Issue 2010 (2010)
- Year:
- 2010
- Volume:
- 2010
- Issue:
- 2010
- Issue Sort Value:
- 2010-2010-2010-0000
- Page Start:
- Page End:
- Publication Date:
- 2010-02-01
- Subjects:
- Mathematics -- Periodicals
519.05 - Journal URLs:
- https://www.hindawi.com/journals/jam/ ↗
- DOI:
- 10.1155/2010/263451 ↗
- Languages:
- English
- ISSNs:
- 1110-757X
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library HMNTS - ELD Digital store
- Ingest File:
- 10700.xml