Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate

Zhaopeng Liu

Discrete Dynamics in Nature and Society, 2020, vol. 2020, 1-8

Abstract:

Options play a very important role in the financial market, and option pricing has become one of the focus issues discussed by the scholars. This paper proposes a new uncertain mean-reverting stock model with floating interest rate, where the interest rate is assumed to be the uncertain Cox-Ingersoll-Ross (CIR) model. The European option and American option pricing formulas are derived via the - path method. In addition, some mathematical properties of the uncertain option pricing formulas are discussed. Subsequently, several numerical examples are given to illustrate the effectiveness of the proposed model.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnddns:3764589

DOI: 10.1155/2020/3764589

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