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
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
Journal title :
Communications in Nonlinear Science and Numerical Simulation
