Korean Journal of Mathematics
- Volume 14 Issue 2
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- Pages.185-202
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- 2006
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- 1976-8605(pISSN)
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- 2288-1433(eISSN)
PRICING CONVERTIBLE BONDS WITH KNOWN INTEREST RATE
- Kim, Jong Heon (Department of Applied Mathematics Kumoh National University of Technology)
- Received : 2006.10.11
- Published : 2006.12.30
Abstract
In this paper, using the Black-Scholes analysis, we will derive the partial differential equation of convertible bonds with both non-stochastic and stochastic interest rate. We also find numerical solutions of convertible bonds equation with known interest rate using the finite element method.