TY  - GEN
AB  - It is shown how to construct an arbitrage-free short rate model under uncertainty about the
drift and the volatility. The uncertainty is represented by a set of priors, which naturally
leads to a G-Brownian motion. Within this framework, it is shown how to characterize the
whole term structure without admitting arbitrage. The pricing of zero-coupon bonds in such
a setting differs substantially from the traditional models, since the prices need to be chosen
in a different way in order to exclude arbitrage.
DA  - 2018
KW  - Robust Finance
KW  - Knightian Uncertainty
KW  - Short Rate Model
KW  - No-Arbitrage
LA  - eng
PY  - 2018
SN  - 0931-6558
SP  - 23-
TI  - Bond Pricing under Knightian Uncertainty. A Short Rate Model with Drift and Volatility Uncertainty
UR  - https://nbn-resolving.org/urn:nbn:de:0070-pub-29303783
Y2  - 2024-11-22T01:12:01
ER  -