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

الملخص EN

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.