Affiliations: [a] College of Mathematics and Information Science, Hebei Normal University, Shijiazhuang, P.R. China | [b] Department of Mathematics and Physics, Shijiazhuang Tiedao University, Shijiazhuang, P.R. China
Correspondence:
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Corresponding author. Guiwen Lv, College of Mathematics and Information Science, Hebei Normal University, Shijiazhuang 050090, P.R. China; Department of Mathematics and Physics, Shijiazhuang Tiedao University, Shijiazhuang 050043, P.R. China. Tel.: +86 15530131875. E-mail: lvguiwen@stdu.edu.cn.
Abstract: Option pricing plays an important role in modern finance. Interest rate is an important economic indicator and always influenced by some uncertain factors. It is necessary to consider the floating interest rate when we explore the option pricing. This paper introduces a new uncertain stock model with floating interest rate. In this new stock model, the pricing formulas for European, American and Asian options are derived. Furthermore, some numerical examples are given.
Keywords: Uncertain process, option pricing, European option, American option, Asian option
