Enhanced group analysis of a semi-linear general bond-pricing equation

Publication date 25 April 2014

Symbolic computation and algebraic computation (68W30) Analyticity in context of PDEs (35A20) Symmetries, Lie group and Lie algebra methods for problems in mechanics (70G65) Financial and insurance mathematics (aspects of mathematics education) (97M30)

Abstract: The enhanced group classification of a semi-linear generalization of a general bond-pricing equation is carried out by employing the underlying equivalence and additional equivalence transformations. The knowledge of the sub classes with larger Lie algebras than the general case enable us to find non trivial invariant solutions under the terminal and the barrier option condition.

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