The Riccati equation in mathematical finance.

DOI10.1006/jsco.2001.0508zbMath1042.34019OpenAlexW2080563392MaRDI QIDQ1599553

Fred Guan, Weidong Tian, Phelim P. Boyle

Publication date: 11 June 2002

Published in: Journal of Symbolic Computation (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/5a1def2b34d194fecbe599532de177354ad18655

Mathematics Subject Classification ID

Nonlinear ordinary differential equations and systems (34A34) Qualitative investigation and simulation of ordinary differential equation models (34C60)

Related Items (9)

Unnamed Item ⋮ Numerical solution of nonlinear fractional Riccati differential equations using compact finite difference method ⋮ Mean–variance efficiency with extended CIR interest rates ⋮ On matching diffusions, Laplace transforms and partial differential equations ⋮ A unified approach to explicit bond price solutions under a time-dependent affine term structure modelling framework ⋮ Forward-backward SDEs and the CIR model ⋮ Computation of optimal portfolios using simulation-based dimension reduction ⋮ Classes of elementary function solutions to the CEV model I ⋮ Approximate solution for solving fractional Riccati differential equations via trigonometric basic functions

Cites Work

• The Pricing of Options and Corporate Liabilities
• An algorithm for solving second order linear homogeneous differential equations
• Some tapas of computer algebra
• Symbolic integration. I: Transcendental functions
• A Theory of the Term Structure of Interest Rates
• SOLUTION OF THE EXTENDED CIR TERM STRUCTURE AND BOND OPTION VALUATION
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Bond, futures and option evaluation in the quadratic interest rate model
• A simple class of square-root interest-rate models
• An equilibrium characterization of the term structure
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Pricing Interest-Rate-Derivative Securities
• An Analogue of L'Hospital's Rule
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