Uncertain interest rate model for Shanghai interbank offered rate and pricing of American swaption
Xiangfeng Yang, Hua Ke
Topics & Concepts
Interest rateStochastic differential equationEconomicsEconometricsDifferential (mechanical device)Rendleman–Bartter modelMathematical economicsMathematicsApplied mathematicsMonetary economicsEngineeringAerospace engineeringFuzzy Systems and OptimizationStochastic processes and financial applicationsProbability and Risk Models