| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 758783 | Communications in Nonlinear Science and Numerical Simulation | 2011 | 7 Pages |
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.
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Authors
W. Sinkala,