Pricing interest rate derivatives under volatility uncertainty
DOI10.1007/S10479-022-04921-YzbMATH Open1537.91326MaRDI QIDQ6549593FDOQ6549593
Authors: Julian Hölzermann 
Publication date: 4 June 2024
Published in: Annals of Operations Research (Search for Journal in Brave)
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model uncertaintyKnightian uncertaintyrobust financefixed income marketsambiguous volatilityfixed income derivatives
Derivative securities (option pricing, hedging, etc.) (91G20) Interest rates, asset pricing, etc. (stochastic models) (91G30) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Cites Work
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