Enhanced group analysis of a semi-linear general bond-pricing equation
Analysis of PDEs
2016-01-29 v4
Abstract
The enhanced group classification of a semi-linear generalization of a general bond-pricing equation is carried out by employing the underlying equivalence and additional equivalence transformations. The knowledge of the sub classes with larger Lie algebras than the general case enable us to find non trivial invariant solutions under the terminal and the barrier option condition.
Keywords
Cite
@article{arxiv.1404.6463,
title = {Enhanced group analysis of a semi-linear general bond-pricing equation},
author = {Y. Bozhkov and S. Dimas},
journal= {arXiv preprint arXiv:1404.6463},
year = {2016}
}
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21 pages