On the resolution of a remarkable bond pricing model from financial mathematics: application of the deductive group theoretical technique

DOI10.1155/2021/9974073MaRDI QIDQ6484065zbMATH OpenFDO

Authors Taha Aziz

Publication date 24 January 2022

Published in Mathematical Problems in Engineering (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Geometric theory, characteristics, transformations in context of PDEs (35A30)

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(2)

• An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
• A terminal condition in linear bond-pricing under symmetry invariance

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