Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions (Q5451427)
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scientific article; zbMATH DE number 5254430
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| English | Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions |
scientific article; zbMATH DE number 5254430 |
Statements
Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions (English)
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27 March 2008
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Lie symmetry analysis
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Vasicek model
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Cox-Ingersoll-Ross model
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zero-coupon bond
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group-invariant solutions
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interest rate models
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partial differential equations
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0.8405122756958008
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0.8177396655082703
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0.8140600323677063
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0.812872052192688
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0.8077226281166077
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