American knock-out options based on floating interest rate in uncertain financial market

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,...

Ausführliche Beschreibung

Gespeichert in:
Bibliographische Detailangaben
Veröffentlicht in:Journal of intelligent & fuzzy systems 2023-11, Vol.45 (5), p.7259-7270
Hauptverfasser: Jia, Lifen, Jiang, Jiarui, Li, Dongao, Guo, Fengjia
Format: Artikel
Sprache:eng
Schlagworte:
Online-Zugang:Volltext
Tags: Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
Beschreibung
Zusammenfassung: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.
ISSN:1064-1246
1875-8967
DOI:10.3233/JIFS-233634