Geodesic
Pricing Equity-linked Debt using the Vasicek Model
Acta mathematica Universitatis Comenianae, Tome 71 (2002) no. 2 
R. Mallier; G. Alobaidi. Pricing Equity-linked Debt using the Vasicek Model. Acta mathematica Universitatis Comenianae, Tome 71 (2002) no. 2. http://geodesic.mathdoc.fr/item/AMUC_2002_71_2_a7/
@article{AMUC_2002_71_2_a7,
     author = {R. Mallier and G. Alobaidi},
     title = {Pricing {Equity-linked} {Debt} using the {Vasicek} {Model}},
     journal = {Acta mathematica Universitatis Comenianae},
     year = {2002},
     volume = {71},
     number = {2},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2002_71_2_a7/}
}
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Voir la notice de l'article provenant de la source Comenius University

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.