PRICING ASIAN OPTIONS IN AN UNCERTAIN STOCK MODEL WITH FLOATING INTEREST RATE

Option pricing has always been an important issue in the financial field. Unlike the classical stochastic theory, we investigate the valuation of Asian options under the assumption that the risk factors are described by uncertain processes. Early researchers have presented some uncertain stock models to simulate the financial market. In this paper, we propose a new uncertain stock model with floating interest rate, where the process of interest rate is assumed to be the uncertain counterpart of the Cox-Ingersoll-Ross (CIR) model. Subsequently, Asian option pricing formulas of the proposed model are derived and some mathematical properties of the formulas are studied. Finally, some numerical algorithms are designed to calculate the prices of Asian options and some numerical examples are performed.