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

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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.

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Acknowledgments

This work was supported by the National Natural Science Foundation of China (61403360 and 71402121).

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Authors and Affiliations

  1. School of Economics and Management, University of Chinese Academy of Sciences, Beijing, 100190, China

    Yiyao Sun

  2. School of Economics and Management, Tongji University, Shanghai, 200092, China

    Taoyong Su

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  1. Yiyao Sun
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  2. Taoyong Su
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Correspondence to Taoyong Su.

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Sun, Y., Su, T. Mean-reverting stock model with floating interest rate in uncertain environment. Fuzzy Optim Decis Making 16, 235–255 (2017). https://doi.org/10.1007/s10700-016-9247-7

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  • DOI: https://doi.org/10.1007/s10700-016-9247-7

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