An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
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Publication:2196453
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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Cited in
(19)- Valuation of interest rate ceiling and floor in uncertain financial market
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Two-factor term structure model with uncertain volatility risk
- Uncertain term structure model of interest rate
- Interest-rate products pricing problems with uncertain jump processes
- Equity warrants model based on uncertain exponential Ornstein-Uhlenbeck equation
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