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An inverse problem arisen in the zero-coupon bond pricing

✍ Scribed by Zui-Cha Deng; Jian-Ning Yu; Liu Yang


Book ID
103864551
Publisher
Elsevier Science
Year
2010
Tongue
English
Weight
345 KB
Volume
11
Category
Article
ISSN
1468-1218

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Zero-coupon bond prices in the Vasicek a
✍ W. Sinkala; P. G. L. Leach; J. G. O'Hara πŸ“‚ Article πŸ“… 2008 πŸ› John Wiley and Sons 🌐 English βš– 127 KB

## Abstract We compute prices of zero‐coupon bonds in the Vasicek and Cox–Ingersoll–Ross interest rate models as group‐invariant solutions. Firstly, we determine the symmetries of the valuation partial differential equation that are compatible with the terminal condition and then seek the desired s