| Zero-Coupon bond pricing模型的最优系统与群不变解(英文) |
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| 引用本文： | 张颖,高雯.Zero-Coupon bond pricing模型的最优系统与群不变解(英文)[J].纺织高校基础科学学报,2009,22(1). |
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| 作者姓名： | 张颖 高雯 |
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| 作者单位： | 西北大学,数学系,陕西,西安,710127 |
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| 摘 要： | 将李群理论用于金融问题中出现的数学模型的微分方程,研究了Zero-Coupon bond pricing模型.求出了该模型的单参数李点对称及它相应的群伴随表达式,由此求得该模型允许的一维李群的子代数的最优系统并且利用最优系统构造该模型相应的微分方程的一些特殊的不同类的闭解.
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| 关 键 词： | Zero-Coupon bond pricing 方程 李对称 李代数 最优系统 |
An optimal system and group-invariant solutions of the Zero-Coupon bond pricing models |
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| ZHANG Ying,GAO Wen.An optimal system and group-invariant solutions of the Zero-Coupon bond pricing models[J].Basic Sciences Journal of Textile Universities,2009,22(1). |
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| Authors: | ZHANG Ying GAO Wen |
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| Abstract: | Lie group theory is applied to differential equations occurring as mathematical models in financial problems. The Zero-Coupon bond pricing models are studied. Its one-parameter Lie point symmetries and corresponding group of adjoint representations are obtained. An optimal system of one-dimensional subalgebra is derived and used to construct distinct families of special closed-form solutions of the equation. |
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| Keywords: | Zero-Coupon bond pricing equations Lie symmetries Lie algebra optimal system |
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