| VALUATION OF INTEREST RATE CEILING AND FLOOR IN FRACTIONAL UNCERTAIN ENVIRONMENT BASED ON NEW INTEREST RATE MODEL |
| کد مقاله : 1060-FEMATH5 |
| نویسندگان |
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علیرضا نجفی *1، فرشید مهردوست2 1استان فارس-خرمبید-صفاشهر- جنب دبستان زینبیه 2دانشگاه گیلان |
| چکیده مقاله |
| In order to estimate probability distribution we need a large amount of historical data but in many cases there is no sample to determine a probability distribution. On the other hand,empirical studies showed that phenomena like stock price and interest rate does not act like randomness. In these cases, we have to invite some domain experts to estimate the belief degree for each event. Degrees of belief formally represent the strength with which we believe the truth of various propositions , Kahneman and Tversky showed that the belief degrees have much greater variances than frequency. So, the human’s belief degrees do not behave like probability distribution. Liu by introducing Liu process can be expressed a different perspective on mathematical finance. Based on the fractional version of this process we introduce a new interest rate model. Then, due to the assumption that the short interest rate follows fractional uncertain differential equation, the price formulas of interest rate ceiling and floor are derived. |
| کلیدواژه ها |
| Interest rate ceiling and floor, Fractional Liu process, Ornstein Uhlenbeck process. |
| وضعیت: پذیرفته شده برای ارائه شفاهی |