Lie-Algebraic Approach for Pricing Zero-Coupon Bonds in Single-Factor Interest Rate Models
Work
Year: 2013
Type: article
Abstract: 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-... more
Source: Journal of Applied Mathematics
Author Chi‐Fai Lo
Cites: 24
Cited by: 5
Related to: 10
FWCI: 0.659
Citation percentile (by year/subfield): 74.96
Subfield: Finance
Domain: Social Sciences
Open Access status: gold
APC paid (est): $1,025