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.

引用

页码：960 / 965

页数：6

共 34 条

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