The Riccati equation in mathematical finance.
type: Item
instance of: scholarly article
title: The Riccati equation in mathematical finance.
zbMATH Open document ID: 1042.34019
author: Fred Guan
author: Phelim Boyle
author: Weidong Tian
published in: Journal of Symbolic Computation
publication date: 2002-06-11T00:00:00Z
review text: The authors summarize the relevant literature on closed-form solutions to the Riccati equation. They describe Kovacic's important contributions to the field. Next, they summarize some of the relevant aspects of the Cox-Ingersoll-Ross model. They describe in more detail the connection between the Riccati equation and practical implementation of the CIR model. They also show that the basic intuition of an analytical solution that has been proposed in the finance literature by \textit{F. Jamshidian} [Appl. Math. Finance 3, 93--115 (1996; Zbl 1097.91525)] ties in closely with the definition proposed for closed-form solutions. They give an explicit example of a new implementation of the extended CIR model that they developed using the ideas in this paper.
reviewed by: Dara Moazzami
Mathematics Subject Classification ID: 34A34
Mathematics Subject Classification ID: 34C60
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 1753682
MaRDI profile type: Publication
OpenAlex ID: W2080563392
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DOI: 10.1006/JSCO.2001.0508
description: scientific article; zbMATH DE number 1753682