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Zero‐coupon bond prices in the Vasicek and CIR models: Their computation as group‐invariant solutions
7 references·5 citing·30 second hop
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this work references cited by second hop

References

  • 1977An equilibrium characterization of the term structure6,104 cited
  • 2003Options, Futures and Other Derivatives3,864 cited
  • 1985An Intertemporal General Equilibrium Model of Asset Prices2,052 cited
  • 1995The Mathematics of Financial Derivatives1,037 cited
  • 2008Mathematical Models of Financial Derivatives567 cited
  • 2000New solutions to the bond-pricing equation via Lie's classical method48 cited
  • 2004Fundamental Solutions for Zero-Coupon Bond Pricing Models40 cited

Cited by

  • 2015Polynomial Chaos Expansion Approach to Interest Rate Models23 cited
  • 2022Robo-Sukuk pricing for Chinese equities20 cited
  • 2013Application of Lie point symmetries to the resolution of certain problems in financial mathematics with a terminal condition16 cited
  • 2010Algebraic solution of the Stein–Stein model for stochastic volatility15 cited
  • 2011Symmetry analysis of a model of stochastic volatility with time-dependent parameters15 cited

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