# An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

Authors: A. S. Deakin; Matt Davison
Journal: Journal of Applied Mathematics
 (2010)

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## Abstract

This paper provides the analytic solution to the partial differential equation for the value of a convertible bond. The equation assumes a Vasicek model for the interest rate and a geometric Brownian motion model for the stock price. The solution is obtained using integral transforms.


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## Body


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*Source: 263451-2010-02-01.xml*