Barrier swaption pricing problem in uncertain financial market

DOI10.1002/mma.6762zbMath1470.91283OpenAlexW3044854297MaRDI QIDQ5003829

Zhe Liu, Ying Yang

Publication date: 30 July 2021

Published in: Mathematical Methods in the Applied Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mma.6762

zbMATH Keywords

uncertainty theoryuncertain differential equationinterest rate swapbarrier swaption

Mathematics Subject Classification ID

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic processes (60G99)

Related Items (3)

Moment estimation for parameters in high-order uncertain differential equations ⋮ Valuation of lookback option under uncertain volatility model ⋮ Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption

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