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Can I read Invariance Properties of a General Bond-pricing Equation on EtoBox?
Invariance Properties of a General Bond-pricing Equation by W. Sinkala; P.G.L. Leach; J.G. O'Hara is a Mathematics article available to read on EtoBox.
What is Invariance Properties of a General Bond-pricing Equation about?
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.
Who reads Invariance Properties of a General Bond-pricing Equation?
It is typically read by researchers, students, and practitioners in Mathematics.
- Author
- W. Sinkala; P.G.L. Leach; J.G. O'Hara
- Publisher
- Elsevier Science; Elsevier ; Elsevier Inc.; Elsevier BV (ISSN 0022-0396)
- Published
- 2008
- Language
- EN
- Field
- Mathematics (Physical Sciences)