| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 4634313 | Applied Mathematics and Computation | 2008 | 13 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
W. Sinkala, P.G.L. Leach, J.G. O’Hara,