%0 Journal Article
%T A Green¡äs function for a convertible bond using the Vasicek model
%A R. Mallier
%A A. S. Deakin
%J Journal of Applied Mathematics
%D 2002
%I Hindawi Publishing Corporation
%R 10.1155/s1110757x02203058
%X We consider a convertible security where the underlying stock price obeys a lognormal random walk and the risk-free rate is given by the Vasicek model. Using a Laplace transform in time and a Mellin transform in the stock price, we derive a Green′s function solution for the value of the convertible bond.
%U http://www.hindawi.com/journals/jam/2002/468572/abs/