An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation

被引：21

作者：

Sinkala, W. ^{[2
]}

Leach, P. G. L. ^{[3
]}

O'Hara, J. G. ^{[1
]}

机构：

[1] Univ KwaZulu Natal, Sch Stat & Actuarial Sci, ZA-4041 Durban, South Africa

[2] Walter Sisulu Univ, Dept Math & Appl Math, Fac Sci & Engn, ZA-5117 Mthatha, South Africa

[3] Univ KwaZulu Natal, Sch Math Sci, Howard Coll, ZA-4041 Durban, South Africa

来源：

APPLIED MATHEMATICS AND COMPUTATION | 2008年 / 201卷 / 1-2期

关键词：

CIR; Lie algebra; interest rate derivatives; optimal system; partial differential equations;

D O I：

10.1016/j.amc.2007.12.008

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The valuation partial differential equation of standard European interest rate derivatives in the Cox-Ingersoll-Ross model is analysed. Its one-parameter Lie point symmetries and corresponding group of adjoint representations are obtained. An optimal system of one-dimensional subalgebras is derived and used to construct distinct families of special closed-form solutions of the equation. (C) 2007 Elsevier Inc. All rights reserved.

引用

页码：95 / 107

页数：13

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