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Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility[...]
The Bond Market
Market Structure
Introduction
Model Framework
Set of Beliefs
The Short Rate
Bond Pricing
Common Approach
Extended -Expectation Space
Bond Prices
The Bond Market
Market Structure
No-Arbitrage
Drift Uncertainty
Set of Beliefs
Bond Prices
Conclusion
Appendix
Verification of the Solution to the SDEs in Subsection 2.2 and 5.2
Arbeitspapier
Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty
Entstehung
2018
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