A Fuzzy-Random Extension of Jamshidian’s Bond Option Pricing Model and Compatible One-Factor Term Structure Models

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...

Полное описание

Библиографические подробности
Главный автор:	Jorge de Andrés-Sánchez
Формат:	Статья
Язык:	English
Опубликовано:	MDPI AG 2023-07-01
Серии:	Axioms
Предметы:	fuzzy-random variables fuzzy numbers fuzzy-random option pricing probability–possibility transformation Vasicek’s model of term structure Jamshidian’s bond option model
Online-ссылка:	https://www.mdpi.com/2075-1680/12/7/668

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