Invariant approaches for the analytic solution of the stochastic Black-Derman toy model

Invariant approaches for the analytic solution of the stochastic Black-Derman toy model

We work on the analytical solution of the stochastic differential equations (SDE) via invariant approaches. In particularly, we focus on the stochastic Black-Derman Toy (BDT) interest rate model, among others. After we present corresponding (1+1) parabolic linear PDE for BDT-SDE, we use theoretical...

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Bibliographic Details
Main Authors: Izgi Burhaneddin, Bakkaloglu Ahmet
Format: Article
Language:English
Published: VINCA Institute of Nuclear Sciences 2018-01-01
Series:Thermal Science
Subjects:
Heat equations
canonical Lie forms
invariant approaches
Black-Derman Toy model
analytical solution
stochastic model
Online Access:http://www.doiserbia.nb.rs/img/doi/0354-9836/2018/0354-98361800030I.pdf

Internet

http://www.doiserbia.nb.rs/img/doi/0354-9836/2018/0354-98361800030I.pdf

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