Two-factor term structure model with uncertain volatility risk

DOI10.1007/s00500-017-2737-xzbMath1398.91624OpenAlexW2740523362MaRDI QIDQ1800343

Xiaowei Chen, Jinwu Gao

Publication date: 23 October 2018

Published in: Soft Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00500-017-2737-x

zbMATH Keywords

bond pricinguncertain differential equationvolatility risktwo-factor term structureuncertain short interest rate

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Fuzzy ordinary differential equations (34A07)

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