Barrier option pricing with floating interest rate based on uncertain exponential Ornstein–Uhlenbeck model

Author:

Zhou Shaoling,Chai Huixin,Wang Xiaosheng

Abstract

<p>A barrier option is a kind of path-dependent option whose return depends on whether the price of the underlying asset reaches a certain barrier level. This paper mainly analyzes European barrier option pricing formulas for the uncertain exponential Ornstein–Uhlenbeck model with a floating interest rate. The corresponding numerical algorithms for the knock-in and knock-out option prices are designed. Several numerical examples are given to study the relationship between barrier option prices and parameters. Finally, a real-data example is presented to illustrate the option pricing formulas.</p>

Publisher

American Institute of Mathematical Sciences (AIMS)

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