New solutions to the bond-pricing equation via Lie's classical method
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Cites work
- scientific article; zbMATH DE number 4058860 (Why is no real title available?)
- scientific article; zbMATH DE number 1250597 (Why is no real title available?)
- A theory of the term structure of interest rates
- An equilibrium characterization of the term structure
- CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
- Pricing interest-rate-derivative securities
- Symmetries of Differential Equations: From Sophus Lie to Computer Algebra
- Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
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
- Invariance properties of a general bond-pricing equation
- Lie symmetries, group-invariant solutions and conservation laws of the Vasicek pricing equation of mathematical finance
- 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
- Group classification of a general bond-option pricing equation of mathematical finance
- Complete Invariant Characterization of Scalar Linear (1+1) Parabolic Equations
- On solutions of the bond pricing equation
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