Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
DOI10.1016/J.CNSNS.2010.02.020zbMATH Open1221.35418OpenAlexW2046611376WikidataQ115358742 ScholiaQ115358742MaRDI QIDQ718284FDOQ718284
Authors: W. Sinkala 
Publication date: 23 September 2011
Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.02.020
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Cites Work
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- CRC Handbook of Lie Group Analysis of Differential Equations, Volume I
- Symmetry Reductions of a Hamilton-Jacobi-Bellman Equation Arising in Financial Mathematics
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
- Invariance properties of a general bond-pricing equation
- The Mathematics of Financial Derivatives
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
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- Lie subalgebras, reduction of order, and group-invariant solutions
- Fundamental solutions for zero-coupon bond pricing models
- Lie theory: Applications to problems in mathematical finance and economics
- New solutions to the bond-pricing equation via Lie's classical method
- Algebraic properties of evolution partial differential equations modelling prices of commodities
- Symmetry-based solution of a model for a combination of a risky investment and a riskless investment
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- Tractable forms of the bond pricing equation
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Cited In (4)
- 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
- New solutions to the bond-pricing equation via Lie's classical method
- Using Lie symmetry analysis to solve a problem that models mass transfer from a horizontal flat plate
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