Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models
Publication in refereed journal

香港中文大學研究人員

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摘要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 dynamical symmetry of their bond pricing equations, analytical closed-form pricing formulae can be derived in a straightfoward manner. Time-varyingmodel parameters could also be incorporated into the derivation of the bond price formulae, and this has the added advantage of allowing yield curves to be fitted. Furthermore, the Lie-algebraic approach can be easily extended to formulate new analytically tractable single-factor interest rate models.
著者Lo CF
期刊名稱Journal of Applied Mathematics
出版年份2013
月份1
日期1
出版社HINDAWI PUBLISHING CORPORATION
國際標準期刊號1110-757X
語言英式英語
Web of Science 學科類別Mathematics; Mathematics, Applied; MATHEMATICS, APPLIED

上次更新時間 2020-06-08 於 03:38