A Green′s function for a convertible bond using the Vasicek model
Roland Mallier, A. S. Deakin · Journal of Applied Mathematics · 2002
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.