CLOSED FORM SOLUTIONS FOR QUADRATIC AND INVERSE QUADRATIC TERM STRUCTURE MODELS

DOI10.1142/S0219024905003396zbMath1106.35120OpenAlexW2028300751MaRDI QIDQ5493850

Peter Laurence, Tai-Ho Wang

Publication date: 16 October 2006

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024905003396

zbMATH Keywords

fundamental solutionsoption pricingLie groupsFokker-Planck equationsBlack-Scholes equationsymmetry analysis

Mathematics Subject Classification ID

Nonlinear parabolic equations (35K55) Interest rates, asset pricing, etc. (stochastic models) (91G30) Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (6)

EXACT SIMULATION OF THE 3/2 MODEL ⋮ Option pricing on multiple assets ⋮ Generating integrable one dimensional driftless diffusions ⋮ Equivalence and symmetries for variable coefficient linear heat type equations. II. Fundamental solutions ⋮ Lie symmetry methods for multi-dimensional parabolic PDEs and diffusions ⋮ Generalized uncorrelated SABR models with a high degree of symmetry

Cites Work

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• Simplifying the form of Lie groups admitted by a given differential equation
• Lie symmetry analysis of differential equations in finance
• Selected papers of the international workshop on anomalous distributions, nonlinear dynamics, and nonextensivity, Santa Fe, NM, USA, November 6--9, 2002
• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Symmetries of the Fokker-Planck equation with a constant diffusion matrix in 2 + 1 dimensions
• The spectral representation of Bessel processes with constant drift: applications in queueing and finance

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