An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility (Q2196453)
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scientific article; zbMATH DE number 7243036
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| English | An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility |
scientific article; zbMATH DE number 7243036 |
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An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility (English)
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2 September 2020
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The authors present a version of the exponential Ornstein-Uhlenbeck interest rate model, in which the volatility process follows a Cox-Ingersoll-Ross process. Using the Yao-Chen formula, they derive the corresponding prices of the interest rate floor and ceiling pertaining to their model. Numerical simulations enlighten their findings.
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exponential Ornstein-Uhlenbeck model
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uncertain process
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interest rate ceiling
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interest rate floor
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Cox-Ingersoll-Ross (CIR) model
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0.8583599925041199
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0.7777484059333801
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0.7730968594551086
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0.7707710266113281
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0.7607871890068054
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