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Lie symmetry methods in finance: an example of the bond pricing equation

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conference contribution
posted on 2024-11-13, 14:25 authored by Joanna GoardJoanna Goard
Using Lie’s classical method of group invariants, new solutions are found for the valuation of zero-coupon bonds. In finding the solutions, the model for the underlying short-term interest rate assumes a realistic time-dependent, mean-reverting drift form and a power-law volatility.

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Citation

Goard, J. M. (2008). Lie symmetry methods in finance: an example of the bond pricing equation. In S. Ao, L. Gelman, D. WL. Hukins, A. Hunter & A. M. Korsunsky (Eds.), World Congress on Engineering 2008 (pp. 960-965). London: International Association of Engineers.

Pagination

960-965

Language

English

RIS ID

23897

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