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

A Green’s Function for a Convertible Bond Using the Vasicek Model

A convertible bond is defined to be (e.g., Jorion [10]) a bond issued by a corporation that can be converted into the equity of that corporation at certain times using a predetermined exchange ratio. This entails the creation of new shares issued by the corporation if and when conversion occurs, and the existing shares are diluted by the creation of the new shares. The option to convert is sole...

An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

investigating the feasibility of a proposed model for geometric design of deployable arch structures

deployable scissor type structures are composed of the so-called scissor-like elements (sles), which are connected to each other at an intermediate point through a pivotal connection and allow them to be folded into a compact bundle for storage or transport. several sles are connected to each other in order to form units with regular polygonal plan views. the sides and radii of the polygons are...

the use of appropriate madm model for ranking the vendors of mci equipments using fuzzy approach

abstract nowadays, the science of decision making has been paid to more attention due to the complexity of the problems of suppliers selection. as known, one of the efficient tools in economic and human resources development is the extension of communication networks in developing countries. so, the proper selection of suppliers of tc equipments is of concern very much. in this study, a ...

A Variational Inequality from Pricing Convertible Bond

The model of pricing American-style convertible bond is formulated as a zero-sum Dynkin game, which can be transformed into a parabolic variational inequality PVI . The fundamental variable in this model is the stock price of the firm which issued the bond, and the differential operator in PVI is linear. The optimal call and conversion strategies correspond to the free boundaries of PVI. Some p...