A Fuzzy-Random Extension of Jamshidian’s Bond Option Pricing Model and Compatible One-Factor Term Structure Models
The primary objective of this paper is to expand Jamshidian’s bond option formula and compatible one-factor term structure models by incorporating the existence of uncertainty in the parameters governing interest-rate fluctuations. Specifically, we consider imprecision in the parameters related to t...
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| Format: | Article |
| Language: | English |
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MDPI AG
2023-07-01
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| Series: | Axioms |
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| Online Access: | https://www.mdpi.com/2075-1680/12/7/668 |