Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption

DOI10.1007/s10700-022-09399-8zbMath1530.91583OpenAlexW4293708200MaRDI QIDQ6082431

Xiangfeng Yang, Hua Ke

Publication date: 29 November 2023

Published in: Fuzzy Optimization and Decision Making (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10700-022-09399-8

zbMATH Keywords

uncertainty theoryuncertain differential equationAmerican swaptionuncertain interest rate model

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)

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