Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation

DOI10.1007/s00500-016-2337-1zbMath1398.91632OpenAlexW2519107433WikidataQ115606564 ScholiaQ115606564MaRDI QIDQ1797745

Yiyao Sun, Zongfei Fu, Kai Yao

Publication date: 22 October 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-016-2337-1

zbMATH Keywords

interest rate modeluncertainty theoryuncertain differential equationpricing formulas

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (14)

Parameter estimation of uncertain differential equation with application to financial market ⋮ Reliability analysis of general systems with bi-uncertain variables ⋮ European option pricing under multifactor uncertain volatility model ⋮ An interest-rate model with jumps for uncertain financial markets ⋮ Bermudan options pricing formulas in uncertain financial markets ⋮ Optimal harvesting strategy based on uncertain logistic population model ⋮ An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility ⋮ Asian-barrier option pricing formulas of uncertain financial market ⋮ Some results about uncertain differential equations with time-dependent delay ⋮ Uncertain strike lookback options pricing with floating interest rate ⋮ Lookback option pricing problem of uncertain exponential Ornstein-Uhlenbeck model ⋮ Pricing of European currency options with uncertain exchange rate and stochastic interest rates ⋮ A new stability analysis of uncertain delay differential equations ⋮ Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation

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