Affiliations: School of Management and Engineering, Capital University of Economics and Business, Beijing, China
Correspondence:
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Corresponding author. Fengjia Guo, School of Management and Engineering, Capital University of Economics and Business, Beijing, China. E-mail: guofengjia@cueb.edu.cn.
Abstract: The knock-out options are considered as path-dependent barrier options that only expire worthless once the value of the underlying asset reaches a specific threshold. The uncertain differential equations are typically used to describe stock fluctuations in uncertain financial markets. In this study, we build a stock model considering floating interest rate based on uncertainty theory. On this basis, we mainly study the pricing scheme of American call and put options. Based on this model, we mainly research the pricing schemes for call and put options with the American barrier option. Moreover, we develope the parameter estimation for the uncertain stock model and analyze the results of the uncertain hypothesis test. Finally, we design numerical algorithms for the corresponding option pricing formulas. As an application, we verify the validity of the formulas through numerical experiments.
