scholarly journals Lookback option pricing problem of mean-reverting stock model in uncertain environment

2017 ◽  
Vol 13 (5) ◽  
pp. 0-0 ◽  
Author(s):  
Miao Tian ◽  
◽  
Xiangfeng Yang ◽  
Yi Zhang ◽  
◽  
...  
Keyword(s):  
Option Pricing ◽  
Uncertain Environment ◽  
Lookback Option ◽  
Stock Model

scholarly journals Lookback Option Pricing Problems of Uncertain Mean-Reverting Stock Model

2021 ◽  
Vol 25 (5) ◽  
pp. 539-545
Author(s):  
Zhaopeng Liu ◽  
Keyword(s):  
Interest Rate ◽  
Option Pricing ◽  
Asset Price ◽  
Option Price ◽  
Cir Model ◽  
Lookback Option ◽  
Proposed Model ◽  
Stock Model ◽  
Path Dependent ◽  
The Interest Rate

A lookback option is a path-dependent option, offering a payoff that depends on the maximum or minimum value of the underlying asset price over the life of the option. This paper presents a new mean-reverting uncertain stock model with a floating interest rate to study the lookback option price, in which the processing of the interest rate is assumed to be the uncertain counterpart of the Cox–Ingersoll–Ross (CIR) model. The CIR model can reflect the fluctuations in the interest rate and ensure that such rate is positive. Subsequently, lookback option pricing formulas are derived through the α-path method and some mathematical properties of the uncertain option pricing formulas are discussed. In addition, several numerical examples are given to illustrate the effectiveness of the proposed model.

scholarly journals American Barrier Option Pricing Formulas for Stock Model in Uncertain Environment

IEEE Access ◽  
2019 ◽  
Vol 7 ◽  
pp. 97846-97856 ◽  
Author(s):  
Rong Gao ◽  
Kaixiang Liu ◽  
Zhiguo Li ◽  
Rongjie Lv
Keyword(s):  
Option Pricing ◽  
Barrier Option ◽  
Uncertain Environment ◽  
Stock Model ◽  
Barrier Option Pricing

Option pricing formulas in a new uncertain stock model with floating interest rate

2017 ◽  
Vol 33 (4) ◽  
pp. 2485-2496 ◽  
Author(s):  
Lv Guiwen ◽  
Liu Lixia ◽  
Li Wenhan
Keyword(s):  
Interest Rate ◽  
Option Pricing ◽  
Stock Model

scholarly journals Lookback Option Pricing Problem of Uncertain Mean-reverting Currrency Model

2021 ◽  
Author(s):  
Yang Liu ◽  
Liying Liu
Keyword(s):  
Option Pricing ◽  
Stock Price ◽  
Currency Option ◽  
Lookback Option

Abstract A lookback option is a maturity option that pays off based on the maximum or minimum stock price over the life of the option. This paper investigates the problem of pricing a lookback currency option based on the uncertain mean-reverting currency model and designs the algorithms to calculate the formulations. Furthermore, disscussions about parameters and result are drawn in the paper.

scholarly journals Option Pricing Formulas in a New Uncertain Mean-Reverting Stock Model with Floating Interest Rate

2020 ◽  
Vol 2020 ◽  
pp. 1-8
Author(s):  
Zhaopeng Liu
Keyword(s):  
Interest Rate ◽  
Option Pricing ◽  
Financial Market ◽  
American Option Pricing ◽  
European Option ◽  
Numerical Examples ◽  
Mathematical Properties ◽  
Proposed Model ◽  
Stock Model ◽  
The Interest Rate

Options play a very important role in the financial market, and option pricing has become one of the focus issues discussed by the scholars. This paper proposes a new uncertain mean-reverting stock model with floating interest rate, where the interest rate is assumed to be the uncertain Cox-Ingersoll-Ross (CIR) model. The European option and American option pricing formulas are derived via the α -path method. In addition, some mathematical properties of the uncertain option pricing formulas are discussed. Subsequently, several numerical examples are given to illustrate the effectiveness of the proposed model.

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