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Lie Symmetry on Bond-option Formula for Vasicek Model

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Lie Symmetry on Bond-option Formula for Vasicek Model
论文目录
 
Aknowledgements第1-6页
Abstract第6-8页
1 Introduction第8-10页
2 Definitions第10-11页
3 Basics of Bond Pricing第11-13页
4 Deriving Term Structure Bond-Option formula第13-19页
  4.1 Term Structure Equation using Vasicek model第13页
  4.2 Using Vasicek interest model第13-16页
  4.3 Risk Neutral Valuation第16-19页
5 Lie symmetry Analysis第19-23页
  5.1 Lie Symmetry Algorithm第19-20页
  5.2 Classifying equations第20-21页
  5.3 Group Classification results第21-23页
6 Conclution第23-24页
7 Appendix第24-26页
  7.1 Invariant criteria for(1+1)PDE parabola第24-26页
    7.1.1 Mahomed Theorem 1第24-25页
    7.1.2 Mahomed Theorem 2第25-26页
8 References第26-28页
学位论文评阅及答辩情况表第28页

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