An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

An Analytic Solution for a Vasicek Interest Rate Convertible Bond Model

Valuation for an American Continuous-Installment Put Option on Bond under Vasicek Interest Rate Model

The valuation for an American continuous-installment put option on zero-coupon bond is considered by Kim’s equations under a single factor model of the short-term interest rate, which follows the famous Vasicek model. In term of the price of this option, integral representations of both the optimal stopping and exercise boundaries are derived. A numerical method is used to approximate the optim...

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 appropriate model for exchange rate predictability in iran: comparing potential forecastability

nowadays in trade and economic issues, prediction is proposed as the most important branch of science. existence of effective variables, caused various sectors of the economic and business executives to prefer having mechanisms which can be used in their decisions. in recent years, several advances have led to various challenges in the science of forecasting. economical managers in various fi...

On Non-existence of a One Factor Interest Rate Model for Volatility Averaged Generalized Fong–vasicek Term Structures

We study the generalized Fong–Vasicek two-factor interest rate model with stochastic volatility. In this model dispersion is assumed to follow a non-negative process with volatility proportional to the square root of dispersion, while the drift is assumed to be a general function. We consider averaged bond prices with respect to the limiting distribution of stochastic dispersion. The averaged b...