Sinkala, W and Leach, PGL and O'Hara, JG (2008) Invariance properties of a general bond-pricing equation. Journal of Differential Equations, 244 (11). pp. 2820-2835. DOI https://doi.org/10.1016/j.jde.2008.02.044
Sinkala, W and Leach, PGL and O'Hara, JG (2008) Invariance properties of a general bond-pricing equation. Journal of Differential Equations, 244 (11). pp. 2820-2835. DOI https://doi.org/10.1016/j.jde.2008.02.044
Sinkala, W and Leach, PGL and O'Hara, JG (2008) Invariance properties of a general bond-pricing equation. Journal of Differential Equations, 244 (11). pp. 2820-2835. DOI https://doi.org/10.1016/j.jde.2008.02.044
Abstract
We perform the group classification of a bond-pricing partial differential equation of mathematical finance to discover the combinations of arbitrary parameters that allow the partial differential equation to admit a nontrivial symmetry Lie algebra. As a result of the group classification we propose ?natural? values for the arbitrary parameters in the partial differential equation, some of which validate the choices of parameters in such classical models as that of Vasicek and Cox?Ingersoll?Ross. For each set of these natural parameter values we compute the admitted Lie point symmetries, identify the corresponding symmetry Lie algebra and solve the partial differential equation.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Lie symmetry analysis; Group classification; Zero-coupon bond; Invariant solution; Interest rate model; Partial differential equation |
| Subjects: | H Social Sciences > HG Finance Q Science > QA Mathematics > QA75 Electronic computers. Computer science |
| 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 15:45 |
| Last Modified: | 06 Jan 2022 13:38 |
| URI: | http://repository.essex.ac.uk/id/eprint/5447 |