A New Uncertain Interest Rate Model with Application to Hibor

被引：1
|
作者：
Liu, Yang [1 ]
Jing, Huiting [2 ]
Ye, Tingqing [3 ]
机构：
[1] Liaocheng Univ, Sch Business, Liaocheng 252059, Shandong, Peoples R China
[2] Tongji Univ, Sch Econ & Management, Shanghai 200092, Peoples R China
[3] Beihang Univ, Sch Reliabil & Syst Engn, Beijing 100191, Peoples R China
来源：
SYMMETRY-BASEL | 2022年 / 14卷 / 07期
关键词：
uncertainty theory; symmetry; uncertain differential equation; interest rate; parameter estimation; STOCK MODEL;
D O I：
10.3390/sym14071344
中图分类号：
O [数理科学和化学]; P [天文学、地球科学]; Q [生物科学]; N [自然科学总论];
学科分类号：
07 ; 0710 ; 09 ;
摘要：
This paper proposes a new interest rate model by using uncertain mean-reverting differential equation. Based on the model, the pricing formulas of the zero-coupon bond, the interest rate ceiling and interest rate floor are derived respectively according to Yao-Chen formula. The symmetry appears in mathematical formulations of the interest rate ceiling and interest rate floor pricing formula. Furthermore, the model is applied to depict Hong Kong interbank offered rate (Hibor). Finally the parameter estimation by the method of moments and hypothesis test is completed.
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页数：11
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