Autor según el artículo: de Andrés-Sánchez, J
Departamento: Gestió d'Empreses
Autor/es de la URV: De Andrés Sànchez, Jorge
Palabras clave: Vasicek’s model of term structure Vasicek's model of term structure Valuation Uncertainty Statistics Regression Probability–possibility transformation Probability-possibility transformation Methodology Jamshidian’s bond option model Jamshidian's bond option model Insurance Fuzzy-random variables Fuzzy-random option pricing Fuzzy numbers European options Definitions Approximations Alpha-cuts
Resumen: 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 the speed of reversion, equilibrium short-term interest rate, and volatility. To model this uncertainty, we utilize fuzzy numbers, which, in this context, are interpreted as epistemic fuzzy sets. The second objective of this study is to propose a methodology for estimating these parameters based on historical data. To do so, we use the possibility distribution functions capability to quantify imprecise probability distributions. Furthermore, this paper presents an application to the term structure of fixed-income bonds with the highest credit rating in the Euro area. This empirical application allows for evaluating the effectiveness of the fuzzy extension in fitting the dynamics of interest rates and assessing the suitability of the proposed extension.
Áreas temáticas: Mathematics, applied Mathematical physics Matemática / probabilidade e estatística Logic Interdisciplinar Geometry and topology Ciencias sociales Astronomia / física Analysis Algebra and number theory
Acceso a la licencia de uso: https://creativecommons.org/licenses/by/3.0/es/
Direcció de correo del autor: jorge.deandres@urv.cat jorge.deandres@urv.cat
Identificador del autor: 0000-0002-7715-779X 0000-0002-7715-779X
Fecha de alta del registro: 2024-08-03
Versión del articulo depositado: info:eu-repo/semantics/publishedVersion
URL Documento de licencia: https://repositori.urv.cat/ca/proteccio-de-dades/
Referencia al articulo segun fuente origial: Axioms: Mathematical Logic And Mathematical Physics. 12 (7):
Referencia de l'ítem segons les normes APA: de Andrés-Sánchez, J (2023). A Fuzzy-Random Extension of Jamshidian's Bond Option Pricing Model and Compatible One-Factor Term Structure Models. Axioms: Mathematical Logic And Mathematical Physics, 12(7), -. DOI: 10.3390/axioms12070668
DOI del artículo: 10.3390/axioms12070668
Entidad: Universitat Rovira i Virgili
Año de publicación de la revista: 2023
Tipo de publicación: Journal Publications