Title of article
Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure
Author/Authors
Sinkala، نويسنده , , W.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2011
Pages
7
From page
56
To page
62
Abstract
Two approaches based on Lie group analysis are employed to obtain the closed-form solution of a partial differential equation derived by Francis A. Longstaff [J Financial Econom 1989;23:195–224] for the price of a discount bond in the double-square-root model of the term structure.
Keywords
Lie group analysis , partial differential equation , Zero-coupon bond , Interest rate models , Financial mathematics
Journal title
Communications in Nonlinear Science and Numerical Simulation
Serial Year
2011
Journal title
Communications in Nonlinear Science and Numerical Simulation
Record number
1535584
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