European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
Joint Authors
Sun, Yanmei
Meng, Xiangbo
Zhang, Lidong
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-05-21
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
In this paper, we investigate the pricing problems of European spread options with the floating interest rate.
In this model, uncertain differential equation and stochastic differential equation are used to describe the fluctuation of stock price and the floating interest rate, respectively.
We derive the pricing formulas for spread options including the European spread call option and the European spread put option.
Finally, numerical algorithms are provided to illustrate our results.
American Psychological Association (APA)
Zhang, Lidong& Sun, Yanmei& Meng, Xiangbo. 2020. European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1193648
Modern Language Association (MLA)
Zhang, Lidong…[et al.]. European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market. Mathematical Problems in Engineering No. 2020 (2020), pp.1-8.
https://search.emarefa.net/detail/BIM-1193648
American Medical Association (AMA)
Zhang, Lidong& Sun, Yanmei& Meng, Xiangbo. European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1193648
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1193648
