An analytic solution for a Vasicek interest rate convertible bond model
DOI10.1155/2010/263451zbMATH Open1188.91214DBLPjournals/jam/DeakinD10OpenAlexW2009049374WikidataQ58652400 ScholiaQ58652400MaRDI QIDQ964034FDOQ964034
Authors: A. S. Deakin, Matt Davison 
Publication date: 14 April 2010
Published in: Journal of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/230237
Recommendations
- A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
- A Green's function for a convertible bond using the Vasicek model
- Solutions of two-factor models with variable interest rates
- scientific article; zbMATH DE number 5584710
- Analytical solution and convergence analysis of Black-Sholes equation
Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) Interest rates, asset pricing, etc. (stochastic models) (91G30)
Cites Work
Cited In (7)
- A Green's function for a convertible bond using the Vasicek model
- Some new traveling wave solutions of the nonlinear reaction diffusion equation by using the improved \((G'/G)\)-expansion method
- Analysis of free boundaries for convertible bonds, with a call feature
- A closed-form analytical solution for the valuation of convertible bonds with constant dividend yield
- AN ANALYTICAL APPROXIMATION FOR CONVERTIBLE BONDS
- A relaxed cutting plane algorithm for solving the Vasicek-type forward interest rate model
- On the resolution of the Vasicek-type interest rate model
This page was built for publication: An analytic solution for a Vasicek interest rate convertible bond model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q964034)
