An uncertain exponential Ornstein-Uhlenbeck interest rate model with uncertain CIR volatility
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Publication:2196453
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Cites work
- A numerical method for solving uncertain differential equations
- An uncertain currency model with floating interest rates
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Mean-reverting stock model with floating interest rate in uncertain environment
- Numerical solution of a PDE model for a ratchet-cap pricing with BGM interest rate dynamics
- On the convergence of uncertain sequences
- On the valuation of interest rate products under multi-factor HJM term-structures
- Ornstein-Uhlenbeck processes in Hilbert space with non-Gaussian stochastic volatility
- SOME PROPERTIES OF CONTINUOUS UNCERTAIN MEASURE
- Two-factor term structure model with uncertain volatility risk
- Uncertain differential equations
- Uncertain term structure model of interest rate
- Uncertainty theory
- Valuation of European option under uncertain volatility model
Cited in
(13)- Interest-rate products pricing problems with uncertain jump processes
- Uncertain term structure model of interest rate
- Modelling 1-month Euribor interest rate by using differential equations with uncertainty
- The Cox-Ingersoll-Ross process under volatility uncertainty
- Uncertain energy model for electricity and gas futures with application in spark-spread option price
- 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
- Fractional Liu uncertain differential equation and its application to finance
- Interest rate model in uncertain environment based on exponential Ornstein-Uhlenbeck equation
- Two-factor term structure model with uncertain volatility risk
- Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption
- Calibration of European option pricing model in uncertain environment: valuation of uncertainty implied volatility
- Valuation of interest rate ceiling and floor in uncertain financial market
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