Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
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Publication:718284
DOI10.1016/J.CNSNS.2010.02.020zbMATH Open1221.35418OpenAlexW2046611376WikidataQ115358742 ScholiaQ115358742MaRDI QIDQ718284FDOQ718284
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- Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
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Cited In (6)
- On the derivation of nonclassical symmetries of the Black-Scholes equation via an equivalence transformation
- Lie symmetry analysis of a first-order feedback model of option pricing
- Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
- New solutions to the bond-pricing equation via Lie's classical method
- On the usage of the Lie group symmetries for term structure models with nonlinear drift and squared volatility functions
- Using Lie symmetry analysis to solve a problem that models mass transfer from a horizontal flat plate
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