期刊
FUZZY OPTIMIZATION AND DECISION MAKING
卷 15, 期 2, 页码 139-154出版社
SPRINGER
DOI: 10.1007/s10700-015-9223-7
关键词
Uncertainty theory; Uncertain differential equation; Interest rate; Finance
资金
- Taft Travel Grant for Research
The interest rate ceiling and floor are the popular interest rate derivatives in a financial market. In this paper, the valuation of interest rate ceiling and floor is investigated by using uncertainty theory. Different from the classical stochastic interest rate models, the uncertain interest rate model is used in this paper as the basis of evaluating the interest rate ceiling and floor. Based on the assumption that the short interest rate follows uncertain differential equations, the price formulas of interest rate ceiling and floor are derived.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据