Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate
Author
Source
Discrete Dynamics in Nature and Society
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-11-04
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract 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.
American Psychological Association (APA)
Liu, Zhaopeng. 2020. Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate. Discrete Dynamics in Nature and Society،Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1152997
Modern Language Association (MLA)
Liu, Zhaopeng. Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate. Discrete Dynamics in Nature and Society No. 2020 (2020), pp.1-8.
https://search.emarefa.net/detail/BIM-1152997
American Medical Association (AMA)
Liu, Zhaopeng. Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate. Discrete Dynamics in Nature and Society. 2020. Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1152997
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1152997
