Lie symmetry methods in finance - An example of the bond pricing equation

被引：0
|
作者：
Goard, Joanna [1 ]
机构：
[1] Univ Wollongong, Sch Math & Appl Stat, Wollongong, NSW, Australia
来源：
WORLD CONGRESS ON ENGINEERING 2008, VOLS I-II | 2008年
关键词：
lie symmetries; bond pricing;
D O I：
暂无
中图分类号：
TP3 [计算技术、计算机技术];
学科分类号：
0812 ;
摘要：
Using Lie's classical method of group invariants, new solutions are found for the valuation of zero-coupon bonds. In finding the solutions, the model for the underlying short-term interest rate assumes a realistic time-dependent, mean-reverting drift form and a power-law volatility.
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页码：960 / 965
页数：6
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