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Fuzzy Optimization and Decision Making

Erschienen in:

17.05.2016

Mean-reverting stock model with floating interest rate in uncertain environment

verfasst von: Yiyao Sun, Taoyong Su

Erschienen in: Fuzzy Optimization and Decision Making | Ausgabe 2/2017

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Abstract

As an application of uncertainty theory in the field of finance, uncertain finance is playing a more and more important role in solving the financial problems. This paper proposes a mean-reverting stock model with floating interest rate to investigate the uncertain financial market. The European option and American option pricing formulas of the stock model are derived by using the Yao–Chen formula. Besides, some numerical algorithms are designed to compute the prices of these options based on the pricing formulas.

Vorheriger Artikel No-arbitrage theorem for multi-factor uncertain stock model with floating interest rate

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Titel: Mean-reverting stock model with floating interest rate in uncertain environment
verfasst von: Yiyao Sun
Taoyong Su
Publikationsdatum: 17.05.2016
Verlag: Springer US
Erschienen in: Fuzzy Optimization and Decision Making / Ausgabe 2/2017
Print ISSN: 1568-4539
Elektronische ISSN: 1573-2908
DOI: https://doi.org/10.1007/s10700-016-9247-7

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