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International Journal for Uncertainty Quantification
IF: 0.967 5-Year IF: 1.301 SJR: 0.531 SNIP: 0.8 CiteScore™: 1.52

ISSN Print: 2152-5080
ISSN Online: 2152-5099

Open Access

International Journal for Uncertainty Quantification

DOI: 10.1615/Int.J.UncertaintyQuantification.2018025270
Forthcoming Article

Pricing Asian option in an uncertain stock model with floating interest rate

weiwei wang
Nanjing University of Science and Technology
Ping Chen
Nanjing University of Science and Technology

ABSTRACT

Option pricing has always been a hot issue in 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 CIR model. Subsequently, Asian options 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.