An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model
نویسندگان
چکیده
منابع مشابه
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...
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عنوان ژورنال:
- J. Applied Mathematics
دوره 2010 شماره
صفحات -
تاریخ انتشار 2010