Interest-rate products pricing problems with uncertain jump processes
Summary: Uncertain differential equations (UDEs) with jumps are an essential tool to model the dynamic uncertain systems with dramatic changes. The interest rates, impacted heavily by human uncertainty, are assumed to follow UDEs with jumps in ideal markets. Based on this assumption, two derivatives, namely, interest-rate caps (IRCs) and interest-rate floors (IRFs), are investigated. Some formulas are presented to calculate their prices, which are of too complex forms for calculation in practice. For this reason, numerical algorithms are designed by using the formulas in order to compute the prices of these structured products. Numerical experiments are performed to illustrate the effectiveness and efficiency, which also show the prices of IRCs are strictly increasing with respect to the diffusion parameter while the prices of IRFs are strictly decreasing with respect to the diffusion parameter.
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- Uncertain term structure model of interest rate
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- Almost sure stability for uncertain differential equation with jumps
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- Finite difference/Fourier spectral for a time fractional Black-Scholes model with option pricing
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- Option pricing formulas in a new uncertain mean-reverting stock model with floating interest rate
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- Reliability index and option pricing formulas of the first-hitting time model based on the uncertain fractional-order differential equation with Caputo type
- Stability in p-th moment for uncertain differential equation with jumps
- Stability in mean for uncertain differential equation with jumps
- The pricing of options and corporate liabilities
- Uncertain calculus with renewal process
- Uncertain differential equation with jumps
- Uncertain differential equations
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- Uncertain term structure model of interest rate
- Uncertainty theory
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- Valuation of European option under uncertain volatility model
- Valuation of interest rate ceiling and floor in uncertain financial market
- Weak Approximation of Stochastic Differential Equations and Application to Derivative Pricing
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