Invariance properties of a general bond-pricing equation
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Publication:925045
DOI10.1016/J.JDE.2008.02.044zbMATH Open1147.91017OpenAlexW2004253282MaRDI QIDQ925045FDOQ925045
Authors: Elsie Sterbin Gottlieb 
Publication date: 29 May 2008
Published in: Journal of Differential Equations (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jde.2008.02.044
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Lie symmetry analysispartial differential equationgroup classificationinvariant solutionzero-coupon bondinterest rate model
Geometric theory, characteristics, transformations in context of PDEs (35A30) Initial value problems for second-order parabolic equations (35K15) Microeconomic theory (price theory and economic markets) (91B24)
Cites Work
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- Fundamental solutions for zero-coupon bond pricing models
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- Valuation of financial derivatives with time-dependent parameters: Lie-algebraic approach
- Review of symbolic software for Lie symmetry analysis
Cited In (29)
- Embedding the Vasicek model into the Cox-Ingersoll-Ross model
- Optimal systems and group invariant solutions for a model arising in financial mathematics
- Group classification of a generalization of the Heath equation
- Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
- Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
- Symmetry analysis and exact solutions to the space-dependent coefficient PDEs in finance
- Perturbation solutions for bond-pricing equations under a multivariate CIR model with weak dependences
- An optimal system and group-invariant solutions of the zero-coupon bond pricing models
- Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition
- Symmetry analysis of a model of stochastic volatility with time-dependent parameters
- Enhanced group analysis of a semi linear generalization of a general bond-pricing equation
- An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation
- Symmetry-based optimal portfolio for a DC pension plan under a CEV model with power utility
- Algorithmic framework for group analysis of differential equations and its application to generalized Zakharov-Kuznetsov equations
- New solutions to the bond-pricing equation via Lie's classical method
- Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
- Group classification of a generalized Black-Scholes-Merton equation
- Symmetry reductions and exact solutions to the Sharma-Tasso-Olever equation
- Optimal portfolio for a defined-contribution pension plan under a constant elasticity of variance model with exponential utility
- Symmetries of the Black-Scholes-Merton equation for European options
- Lie symmetry analysis and exact solutions of the Sawada--Kotera equation
- Closed-form solutions via the invariant approach for one-factor commodity models
- Equivalence and symmetries for variable coefficient linear heat type equations. I
- A terminal condition in linear bond-pricing under symmetry invariance
- Painlevé analysis, group classification and exact solutions to the nonlinear wave equations
- SOLVING THE ASIAN OPTION PDE USING LIE SYMMETRY METHODS
- Painlevé analysis, Lie symmetries, and exact solutions for the time-dependent coefficients gardner equations
- Group classification of a general bond-option pricing equation of mathematical finance
- Algebraic solution of the Stein-Stein model for stochastic volatility
Uses Software
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