Sinkala, W and Leach, PGL and O'Hara, JG (2011) Embedding the Vasicek model into the Cox-Ingersoll-Ross model. Mathematical Methods in the Applied Sciences, 34 (2). pp. 152-159. DOI https://doi.org/10.1002/mma.1342
Sinkala, W and Leach, PGL and O'Hara, JG (2011) Embedding the Vasicek model into the Cox-Ingersoll-Ross model. Mathematical Methods in the Applied Sciences, 34 (2). pp. 152-159. DOI https://doi.org/10.1002/mma.1342
Sinkala, W and Leach, PGL and O'Hara, JG (2011) Embedding the Vasicek model into the Cox-Ingersoll-Ross model. Mathematical Methods in the Applied Sciences, 34 (2). pp. 152-159. DOI https://doi.org/10.1002/mma.1342
Abstract
The Cox-Ingersoll-Ross (CIR) model and the Vasicek model are two well-known single factor models of the interest spot rate. In this paper, we construct a mapping by means of which the price of a zero-coupon bond in the CIR model may be obtained from a corresponding price in the Vasicek model. We use symmetry analysis to construct this mapping and verify it by transforming three arbitrary solutions of the pricing equation in the Vasicek model into solutions of the corresponding equation in the CIR model. © 2010 John Wiley & Sons, Ltd.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | lie symmetry analysis; Vasicek model; Cox-Ingersoll-Ross model; zero-coupon bond; interest rate model; partial differential equation; financial mathematics |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics |
| Divisions: | Faculty of Science and Health Faculty of Science and Health > Mathematics, Statistics and Actuarial Science, School 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 15:58 |
| Last Modified: | 30 Oct 2024 19:53 |
| URI: | http://repository.essex.ac.uk/id/eprint/5442 |