Geodesic
An American convert close to maturity
Acta mathematica Universitatis Comenianae, Tome 78 (2009) no. 1 
G. Alobaidi; R. Mallier. An American convert close to maturity. Acta mathematica Universitatis Comenianae, Tome 78 (2009) no. 1. http://geodesic.mathdoc.fr/item/AMUC_2009_78_1_a9/
@article{AMUC_2009_78_1_a9,
     author = {G. Alobaidi and R. Mallier},
     title = {An {American} convert close to maturity},
     journal = {Acta mathematica Universitatis Comenianae},
     year = {2009},
     volume = {78},
     number = {1},
     url = {http://geodesic.mathdoc.fr/item/AMUC_2009_78_1_a9/}
}
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Voir la notice de l'article provenant de la source Comenius University

We use an asymptotic expansion to study the behavior of an American convertible bond close to maturity, under the assumptions that the underlying stock price obeys a lognormal random walk and the risk-free rate is given by either the Vasicek model or the Cox-Ingersoll-Ross model. Series solutions are obtained for the location of the free boundary and the price of the bond in that limit.