Fundamental solution of bond pricing in the Ho-Lee stochastic interest rate model under the invariant criteria
We study the fundamental solution of bond-pricing in the Ho-Lee stochastic interest rate model under the invariant criteria. We obtain transformations between Ho-Lee model with the corresponding linear (1 + 1) partial differential equation and the first Lie canonical form which is identical to the c...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
BİSKA Bilisim Company
2017-03-01
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| Series: | New Trends in Mathematical Sciences |
| Subjects: | |
| Online Access: | https://ntmsci.com/ajaxtool/GetArticleByPublishedArticleId?PublishedArticleId=8254 |