Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate. (4th November 2020)

• Record Type: Journal Article
• Authors: Liu, Zhaopeng
• Other Names: Cacace Filippo Academic Editor.
• Is Part Of: Discrete dynamics in nature and society. Volume 2020(2020)
• Publication Date: 2020-11-04
• Subjects: System analysis -- Periodicals; Dynamics -- Periodicals; Chaotic behavior in systems -- Periodicals; Differentiable dynamical systems -- Periodicals; 003.05
• DOI: 10.1155/2020/3764589
• Languages: English
• ISSNs: 1026-0226

Abstract

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 α -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.