Mean-reverting stock model with floating interest rate in uncertain environment

Yiyao Sun and Taoyong Su ()
Additional contact information
Yiyao Sun: University of Chinese Academy of Sciences
Taoyong Su: Tongji University

Fuzzy Optimization and Decision Making, 2017, vol. 16, issue 2, No 6, 235-255

Abstract: Abstract As an application of uncertainty theory in the field of finance, uncertain finance is playing a more and more important role in solving the financial problems. This paper proposes a mean-reverting stock model with floating interest rate to investigate the uncertain financial market. The European option and American option pricing formulas of the stock model are derived by using the Yao–Chen formula. Besides, some numerical algorithms are designed to compute the prices of these options based on the pricing formulas.

Keywords: Uncertainty theory; Uncertain differential equation; Stock model; Option pricing formulas (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://link.springer.com/10.1007/s10700-016-9247-7 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:fuzodm:v:16:y:2017:i:2:d:10.1007_s10700-016-9247-7

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10700

DOI: 10.1007/s10700-016-9247-7

Access Statistics for this article

Fuzzy Optimization and Decision Making is currently edited by Shu-Cherng Fang and Boading Liu

More articles in Fuzzy Optimization and Decision Making from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().