TY - JOUR A2 - Cacace, Filippo AU - Sun, Yiyao AU - Liu, Shiqin PY - 2021 DA - 2021/06/19 TI - Interest-Rate Products Pricing Problems with Uncertain Jump Processes SP - 7398770 VL - 2021 AB - Uncertain differential equations (UDEs) with jumps are an essential tool to model the dynamic uncertain systems with dramatic changes. The interest rates, impacted heavily by human uncertainty, are assumed to follow UDEs with jumps in ideal markets. Based on this assumption, two derivatives, namely, interest-rate caps (IRCs) and interest-rate floors (IRFs), are investigated. Some formulas are presented to calculate their prices, which are of too complex forms for calculation in practice. For this reason, numerical algorithms are designed by using the formulas in order to compute the prices of these structured products. Numerical experiments are performed to illustrate the effectiveness and efficiency, which also show the prices of IRCs are strictly increasing with respect to the diffusion parameter while the prices of IRFs are strictly decreasing with respect to the diffusion parameter. SN - 1026-0226 UR - https://doi.org/10.1155/2021/7398770 DO - 10.1155/2021/7398770 JF - Discrete Dynamics in Nature and Society PB - Hindawi KW - ER -