Pricing interest rate derivatives under volatility uncertainty

Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)

Cites Work

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Financial markets with volatility uncertainty
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ON ARBITRAGE AND DUALITY UNDER MODEL UNCERTAINTY AND PORTFOLIO CONSTRAINTS
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