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Two ways to solve, using Lie group analysis, the fundamental valuation equation in the double-square-root model of the term structure. (English) Zbl 1221.35418
Summary: Two approaches based on Lie group analysis are employed to obtain the closed-form solution of a partial differential equation derived by F. A. Longstaff [J. Fin. Econom. 23, 195–224 (1989)] for the price of a discount bond in the double-square-root model of the term structure.
MSC:
35Q91PDEs in connection with game theory, economics, social and behavioral sciences
35A30Geometric theory for PDE, characteristics, transformations
91G80Financial applications of other theories (stochastic control, calculus of variations, PDE, SPDE, dynamical systems)
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