Abstract: Using a Lie algebraic approach we explicitly compute the transitiondensity function for the solution of the stochastic differential equation definingthe CIR process. Moreover we show how to use such a derivation to recover thewell-known formula for the asscoiated ZCB fair price.
TRANSITION DENSITY FOR CIR PROCESS BY LIE SYMMETRIES AND APPLICATION TO ZCB PRICING
F. Cordoni;DI PERSIO, Luca
2013-01-01
Abstract
Abstract: Using a Lie algebraic approach we explicitly compute the transitiondensity function for the solution of the stochastic differential equation definingthe CIR process. Moreover we show how to use such a derivation to recover thewell-known formula for the asscoiated ZCB fair price.
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