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Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models
Author
Source
Journal of Applied Mathematics
Issue
Vol. 2013, Issue 2013 (31 Dec. 2013), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2013-05-09
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
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-varying model 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.
American Psychological Association (APA)
Lo, C. F.. 2013. Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models. Journal of Applied Mathematics،Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-459626
Modern Language Association (MLA)
Lo, C. F.. Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models. Journal of Applied Mathematics No. 2013 (2013), pp.1-9.
https://search.emarefa.net/detail/BIM-459626
American Medical Association (AMA)
Lo, C. F.. Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models. Journal of Applied Mathematics. 2013. Vol. 2013, no. 2013, pp.1-9.
https://search.emarefa.net/detail/BIM-459626
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-459626