An Uncertain Exponential Ornstein–Uhlenbeck Interest Rate Model with Uncertain CIR Volatility

Assuming that the volatility process follows the uncertain Cox–Ingersoll–Ross (CIR) model, this paper presents a new version of the uncertain exponential Ornstein–Uhlenbeck interest rate model. The prices of the interest rate ceiling and the interest rate floor based on the model are derived using the Yao–Chen formula. Some algorithms are designed to calculate the prices of these derivatives numerically. We present some numerical experiments which illustrate the behaviour of the proposed model.