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A Green′s function for a convertible bond using the Vasicek modelDOI: 10.1155/s1110757x02203058 Abstract: 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.
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