An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility

DOI10.1007/s41980-019-00332-1zbMath1448.91308OpenAlexW2991766344WikidataQ115600290 ScholiaQ115600290MaRDI QIDQ2196453

Yanyan Li

Publication date: 2 September 2020

Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s41980-019-00332-1

zbMATH Keywords

uncertain processCox-Ingersoll-Ross (CIR) modelexponential Ornstein-Uhlenbeck modelinterest rate ceilinginterest rate floor

Mathematics Subject Classification ID

Diffusion processes (60J60) Interest rates, asset pricing, etc. (stochastic models) (91G30)

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