Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate
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-Ingersol...
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/3764589 |
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| _version_ | 1849305147992178688 |
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| author | Zhaopeng Liu |
| author_facet | Zhaopeng Liu |
| author_sort | Zhaopeng Liu |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-08984aaeb5874c9a92b5b99ef684201f |
| institution | Kabale University |
| issn | 1026-0226 1607-887X |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Discrete Dynamics in Nature and Society |
| spelling | doaj-art-08984aaeb5874c9a92b5b99ef684201f2025-08-20T03:55:32ZengWileyDiscrete Dynamics in Nature and Society1026-02261607-887X2020-01-01202010.1155/2020/37645893764589Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest RateZhaopeng Liu0School of Mathematics and Statistics, Suzhou University, Suzhou, Anhui 234000, ChinaOptions 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.http://dx.doi.org/10.1155/2020/3764589 |
| spellingShingle | Zhaopeng Liu Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate Discrete Dynamics in Nature and Society |
| title | Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate |
| title_full | Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate |
| title_fullStr | Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate |
| title_full_unstemmed | Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate |
| title_short | Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate |
| title_sort | option pricing formulas in a new uncertain mean reverting stock model with floating interest rate |
| url | http://dx.doi.org/10.1155/2020/3764589 |
| work_keys_str_mv | AT zhaopengliu optionpricingformulasinanewuncertainmeanrevertingstockmodelwithfloatinginterestrate |