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Probability, Uncertainty and Quantitative Risk
Fig. 2 | Probability, Uncertainty and Quantitative Risk

Fig. 2

From: Affine processes under parameter uncertainty

Fig. 2

This figure shows the upper Call price for the nonlinear Vasiček, the nonlinear CIR, and the nonlinear Vasiček–CIR model. The first two models are obtained from the latter by simply letting \(\bar a^{1}=0\) (\(\bar a^{0} = 0\), respectively). The Call price has a strike of 0.5 and the parameters are given in the table above

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