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Details for article 7 of 68 found articles
| Title: |
An American convert close to maturity |
| Author: |
G. Alobaidi R. Mallier |
| Appeared in: |
Acta mathematica Universitatis Comenianae |
| Paging: | Volume LXXVIII (2009) nr. 1 pages 87-96 |
| Year: |
2009 |
| Contents: |
We use an asymptotic expansion to study the behavior of an American convertible bond close to maturity, under the assumptions that the underlying stock price obeys a lognormal random walk and the risk-free rate is given by either the Vasicek model or the Cox-Ingersoll-Ross model. Series solutions are obtained for the location of the free boundary and the price of the bond in that limit. |
| Publisher: |
Acta Mathematica Universitatis Comenianae (provided by DOAJ) |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 7 of 68 found articles
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