Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure

DOI10.1016/J.CNSNS.2010.02.020zbMath1221.35418OpenAlexW2046611376WikidataQ115358742 ScholiaQ115358742MaRDI QIDQ718284

Winter Sinkala

Publication date: 23 September 2011

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cnsns.2010.02.020

zbMATH Keywords

partial differential equationfinancial mathematicsLie group analysisinterest rate modelszero-coupon bond

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Geometric theory, characteristics, transformations in context of PDEs (35A30) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items (3)

Lie symmetry analysis of a first-order feedback model of option pricing ⋮ Using Lie symmetry analysis to solve a problem that models mass transfer from a horizontal flat plate ⋮ On the derivation of nonclassical symmetries of the Black-Scholes equation via an equivalence transformation

Uses Software

• Mathematica
• DIMSYM
• LIE
• LIE0
• SPDE

Cites Work

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• Algebraic properties of evolution partial differential equations modelling prices of commodities
• Symmetries and differential equations
• LIE, a PC program for Lie analysis of differential equations
• Lie subalgebras, reduction of order, and group-invariant solutions

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