Original paper
Valuation of interest rate ceiling and floor in uncertain financial market
Volume: 15, Issue: 2, Pages: 139 - 154
Published: Jul 9, 2015
Abstract
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...
Paper Details
Title
Valuation of interest rate ceiling and floor in uncertain financial market
Published Date
Jul 9, 2015
Volume
15
Issue
2
Pages
139 - 154
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Notes
History