Embedding the Vasicek model into the Cox-Ingersoll-Ross model
Publication:3067817
DOI10.1002/mma.1342zbMath1205.35319MaRDI QIDQ3067817
No author found.
Publication date: 13 January 2011
Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/mma.1342
partial differential equation; interest rate model; Cox-Ingersoll-Ross model; Vasicek model; financial mathematics; Lie symmetry analysis; zero-coupon bond
91G80: Financial applications of other theories
58J70: Invariance and symmetry properties for PDEs on manifolds
58D19: Group actions and symmetry properties
35Q91: PDEs in connection with game theory, economics, social and behavioral sciences
58J72: Correspondences and other transformation methods (e.g., Lie-Bäcklund) for PDEs on manifolds
Uses Software
Cites Work
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