Francesco Cordoni, Luca Di Persio
Department of Mathematics
University of Trento
Via Sommarive, 14 Trento, ITALY
Department of Computer Science
University of Verona
Via le Grazie, 14 Verona, ITALY

Abstract. Using a Lie algebraic approach we explicitly compute the transition density function for the solution of the stochastic differential equation defining the CIR process. Moreover we show how to use such a derivation to recover the well-known formula for the asscoiated ZCB fair price.

Received: July 10, 2013

AMS Subject Classification: 60H15, 35Q91

Key Words and Phrases: CIR process, stochastic differential equations, Lie symmetry groups, diffusion processes, transition densities

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