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Fundamental Solutions for Zero-Coupon Bond Pricing Models

✍ Scribed by C. A. Pooe; F. M. Mahomed; C. Wafo Soh

Book ID
111602671
Publisher
Springer Netherlands
Year
2004
Tongue
English
Weight
78 KB
Volume
36
Category
Article
ISSN
0924-090X

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Zero-coupon bond prices in the Vasicek a
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✍ 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