Sinkala, W and Leach, PGL and O'Hara, JG (2008) An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Applied Mathematics and Computation, 201 (1-2). pp. 95-107. DOI https://doi.org/10.1016/j.amc.2007.12.008
Sinkala, W and Leach, PGL and O'Hara, JG (2008) An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Applied Mathematics and Computation, 201 (1-2). pp. 95-107. DOI https://doi.org/10.1016/j.amc.2007.12.008
Sinkala, W and Leach, PGL and O'Hara, JG (2008) An optimal system and group-invariant solutions of the Cox-Ingersoll-Ross pricing equation. Applied Mathematics and Computation, 201 (1-2). pp. 95-107. DOI https://doi.org/10.1016/j.amc.2007.12.008
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.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | CIR; Lie algebra; Interest rate derivatives; Optimal system; Partial differential equations |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematical Sciences, Department of |
| SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
| Depositing User: | Unnamed user with email elements@essex.ac.uk |
| Date Deposited: | 01 Feb 2013 15:48 |
| Last Modified: | 06 Jan 2022 13:38 |
| URI: | http://repository.essex.ac.uk/id/eprint/5448 |