An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
DOI10.1007/S41980-019-00332-1zbMATH Open1448.91308OpenAlexW2991766344WikidataQ115600290 ScholiaQ115600290MaRDI QIDQ2196453FDOQ2196453
Authors: Yanyan Li 
Publication date: 2 September 2020
Published in: Bulletin of the Iranian Mathematical Society (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s41980-019-00332-1
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Cites Work
- Uncertainty theory
- On the convergence of uncertain sequences
- Uncertain differential equations
- SOME PROPERTIES OF CONTINUOUS UNCERTAIN MEASURE
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- Uncertain term structure model of interest rate
- A numerical method for solving uncertain differential equations
- Two-factor term structure model with uncertain volatility risk
- On the valuation of interest rate products under multi-factor HJM term-structures
- An uncertain currency model with floating interest rates
- Mean-reverting stock model with floating interest rate in uncertain environment
- Valuation of European option under uncertain volatility model
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
Cited In (13)
- Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
- Electricity spot price modeling by multi-factor uncertain process: a case study from the Nordic region
- Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility
- Uncertain term structure model of interest rate
- Two-factor term structure model with uncertain volatility risk
- The Cox-Ingersoll-Ross process under volatility uncertainty
- Interest-rate products pricing problems with uncertain jump processes
- Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Modelling 1-month Euribor interest rate by using differential equations with uncertainty
- Fractional Liu uncertain differential equation and its application to finance
- Uncertain energy model for electricity and gas futures with application in spark-spread option price
- Valuation of interest rate ceiling and floor in uncertain financial market
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