Knock-out options pricing formulas in uncertain financial market with floating interest rate

被引：2
|
作者：
Jia, Lifen [1 ]
Li, Dongao [1 ]
Guo, Fengjia [1 ]
Liu, Yajuan [2 ]
机构：
[1] Capital Univ Econ & Business, Sch Management & Engn, Beijing 100070, Peoples R China
[2] Beijing Informat Sci & Technol Univ, Sch Econ & Management, Beijing 100192, Peoples R China
来源：
SOFT COMPUTING | 2024年
关键词：
Uncertainty theory; Knock-out option; Floating interest rate; Option pricing; Parameter estimation; MODEL;
D O I：
10.1007/s00500-023-09547-1
中图分类号：
TP18 [人工智能理论];
学科分类号：
081104 ; 0812 ; 0835 ; 1405 ;
摘要：
Knock-out options are a kind of path-dependent exotic option. In this paper, we first introduce the uncertain mean-reverting stock model with floating interest rate to depict the price fluctuations of the stock in uncertain financial markets. Following this, our main focus is to investigate the pricing formulas for two types of European knock-out options. Subsequently, stock data with rising and falling trends are selected to calculate the parameters of the model based on the method of moments. Finally, we present numerical examples to verify the validity of the formulas.
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页数：14
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