TRANSITION DENSITY FOR CIR PROCESS BY LIE SYMMETRIES AND APPLICATION TO ZCB PRICING

DOI10.12732/IJPAM.V88I2.7zbMath1284.60127OpenAlexW2040757838MaRDI QIDQ2867720

Luca Di Persio, Francesco Giuseppe Cordoni

Publication date: 20 December 2013

Published in: International Journal of Pure and Apllied Mathematics (Search for Journal in Brave)

Full work available at URL: http://www.ijpam.eu/contents/2013-88-2/7/index.html

zbMATH Keywords

stochastic differential equationsdiffusion processestransition densitiesCIR processLie symmetry groups

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

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