ACTA MATHEMATICA UNIVERSITATIS COMENIANAE
Vol. LXXI, 2(2002)
p. 211
Pricing Equity-linked Debt using the Vasicek Model
R. Mallier and G. Alobaidi
Abstract.
We consider equity-linked debt where the holder receives both interest payments
and payments linked to the performance of an equity index.
We use a Green's function approach to value such instruments under
the assumption that the equity index obeys a lognormal random walk and
the risk-free interest rate is given by the Vasicek model.
AMS subject classification:
91B28, 34B27
Keywords:
Green's functions, fixed income securities, equity securities
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