Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models
The Lie-algebraic approach has been applied to solve the bond pricing problem in single-factor interest rate models. Four of the popular single-factor models, namely, the Vasicek model, Cox-Ingersoll-Ross model, double square-root model, and Ahn-Gao model, are investigated. By exploiting the dynamic...
| 出版年: | Journal of Applied Mathematics |
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| 第一著者: | |
| フォーマット: | 論文 |
| 言語: | 英語 |
| 出版事項: |
Wiley
2013-01-01
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| オンライン･アクセス: | http://dx.doi.org/10.1155/2013/276238 |