Abstract
We perform the group classification of a bond-pricing partial differential equation of mathematical finance to discover the combinations of arbitrary parameters that allow the partial differential equation to admit a nontrivial symmetry Lie algebra. As a result of the group classification we propose “natural” values for the arbitrary parameters in the partial differential equation, some of which validate the choices of parameters in such classical models as that of Vasicek and Cox–Ingersoll–Ross. For each set of these natural parameter values we compute the admitted Lie point symmetries, identify the corresponding symmetry Lie algebra and solve the partial differential equation.
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