New solutions to the bond-pricing equation via Lie's classical method
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Publication:1585830
DOI10.1016/S0895-7177(00)00136-9zbMATH Open0955.91018OpenAlexW2002417392MaRDI QIDQ1585830FDOQ1585830
Authors: Joanna Goard 
Publication date: 14 November 2000
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(00)00136-9
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Cites Work
- Symmetries of Differential Equations: From Sophus Lie to Computer Algebra
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- Pricing interest-rate-derivative securities
- Title not available (Why is that?)
- Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
- CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
- Title not available (Why is that?)
Cited In (22)
- Lie symmetry methods for local volatility models
- Embedding the Vasicek model into the Cox-Ingersoll-Ross model
- Generalized uncorrelated SABR models with a high degree of symmetry
- Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
- Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance
- Invariance properties of a general bond-pricing equation
- Ibragimov-type invariants for a system of two linear parabolic equations
- Tractable forms of the bond pricing equation
- Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models
- Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
- Analyzing short-rate models for efficient bond option pricing: a review
- Closed-form formulae for European options under three-factor models
- Fundamental solutions for zero-coupon bond pricing models
- Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- On the usage of the Lie group symmetries for term structure models with nonlinear drift and squared volatility functions
- Using Utility Functions to Model Risky Bonds
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- A terminal condition in linear bond-pricing under symmetry invariance
- Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
- Group classification of a general bond-option pricing equation of mathematical finance
- On solutions of the bond pricing equation
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