Symmetry Analysis of an Interest Rate Derivatives PDE Model in Financial Mathematics
We perform Lie symmetry analysis to a zero-coupon bond pricing equation whose price evolution is described in terms of a partial differential equation (PDE). As a result, using the computer software package SYM, run in conjunction with Mathematica, a new family of Lie symmetry group and generators o...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2019-08-01
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| Series: | Symmetry |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2073-8994/11/8/1056 |