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Volumn 2, Issue 5, 2002, Pages 219-232

A Green s function for a convertible bond using the Vasicek model

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EID: 17844403917     PISSN: 1110757X     EISSN: 16870042     Source Type: Journal    
DOI: 10.1155/S1110757X02203058     Document Type: Article
Times cited : (9)

References (14)
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    • (1964) National Bureau of Standards Applied Mathematics Series , vol.55
    • Abramowitz, M.1    Stegun, I.A.2
  • 2
    • 20444362593 scopus 로고    scopus 로고
    • Convertible securities and their valuation
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    • (2001) Handbook of Fixed Income Securities , pp. 1127-1171
    • Bhattacharya, M.1
  • 3
    • 84967686693 scopus 로고
    • Convertible bonds: Valuation and optimal strategies for call and conversion
    • M. J. Brennan and E. S. Schwartz, Convertible bonds: valuation and optimal strategies for call and conversion, J. Finance 32 (1977), 1699-1715.
    • (1977) J. Finance , vol.32 , pp. 1699-1715
    • Brennan, M.J.1    Schwartz, E.S.2
  • 5
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • J. C. Cox, J. E. Ingersoll Jr., and S. A. Ross, An intertemporal general equilibrium model of asset prices, Econometrica 53 (1985), no. 2, 363-384.
    • (1985) Econometrica , vol.53 , Issue.2 , pp. 363-384
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 6
    • 0001205798 scopus 로고
    • A theory of the term structure of interest rates
    • J. C. Cox, J. E. Ingersoll Jr., and S. A. Ross, A theory of the term structure of interest rates, Econometrica 53 (1985), no. 2, 385-407.
    • (1985) Econometrica , vol.53 , Issue.2 , pp. 385-407
    • Cox, J.C.1    Ingersoll, J.E.2    Ross, S.A.3
  • 7
    • 20444376058 scopus 로고    scopus 로고
    • Convertible securities and their investment characteristics
    • (F. J. Fabozzi, ed.), McGraw-Hill, New York, 6th ed
    • C. P. Dialynas, S. Durn, and J. C. Ritchie, Convertible securities and their investment characteristics, Handbook of Fixed Income Securities (F. J. Fabozzi, ed.), McGraw-Hill, New York, 6th ed., 2001, pp. 1103-1126.
    • (2001) Handbook of Fixed Income Securities , pp. 1103-1126
    • Dialynas, C.P.1    Durn, S.2    Ritchie, J.C.3
  • 9
    • 0001612996 scopus 로고
    • A contingent claim valuation of convertible securities
    • J. E. Ingersoll, A contingent claim valuation of convertible securities, J. Financial Economics 4 (1977), 289-322.
    • (1977) J. Financial Economics , vol.4 , pp. 289-322
    • Ingersoll, J.E.1
  • 13
    • 0347078538 scopus 로고
    • An equilibrium characterization of the term structure
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    • Vasicek, O.A.1


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