Tractable forms of the bond pricing equation

DOI10.1016/J.MCM.2003.09.034zbMath1112.91035OpenAlexW2003359631MaRDI QIDQ1764962

Joanna M. Goard, Philip Broadbridge, Gaurav Raina

Publication date: 22 February 2005

Published in: Mathematical and Computer Modelling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.mcm.2003.09.034

zbMATH Keywords

Canonical formBond pricing equationShort-rate

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Initial value problems for second-order parabolic equations (35K15)

Related Items (2)

Lie-algebraic approach for pricing zero-coupon bonds in single-factor interest rate models ⋮ Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure

Uses Software

• Algorithm 368

Cites Work

• New solutions to the bond-pricing equation via Lie's classical method
• A Theory of the Term Structure of Interest Rates
• An equilibrium characterization of the term structure
• Pricing Interest-Rate-Derivative Securities
• Symmetry-based algorithms to relate partial differential equations: II. Linearization by nonlocal symmetries
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