European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market

In this paper, we investigate the pricing problems of European spread options with the floating interest rate. In this model, uncertain differential equation and stochastic differential equation are used to describe the fluctuation of stock price and the floating interest rate, respectively. We deri...

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Main Authors:	Lidong Zhang, Yanmei Sun, Xiangbo Meng
Format:	Article
Language:	English
Published:	Hindawi Limited 2020-01-01
Series:	Mathematical Problems in Engineering
Online Access:	http://dx.doi.org/10.1155/2020/2015845

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spelling	doaj-d2762c4373cb4b8589ca8cef8f0161892020-11-25T03:23:36ZengHindawi LimitedMathematical Problems in Engineering1024-123X1563-51472020-01-01202010.1155/2020/20158452015845European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial MarketLidong Zhang0Yanmei Sun1Xiangbo Meng2School of Science, Tianjin University of Science & Technology, Tianjin 300457, ChinaCollege of Economics & Management, Tianjin University of Science & Technology, Tianjin 300222, ChinaSchool of Science, Tianjin University of Science & Technology, Tianjin 300457, ChinaIn this paper, we investigate the pricing problems of European spread options with the floating interest rate. In this model, uncertain differential equation and stochastic differential equation are used to describe the fluctuation of stock price and the floating interest rate, respectively. We derive the pricing formulas for spread options including the European spread call option and the European spread put option. Finally, numerical algorithms are provided to illustrate our results.http://dx.doi.org/10.1155/2020/2015845
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Lidong Zhang Yanmei Sun Xiangbo Meng
spellingShingle	Lidong Zhang Yanmei Sun Xiangbo Meng European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market Mathematical Problems in Engineering
author_facet	Lidong Zhang Yanmei Sun Xiangbo Meng
author_sort	Lidong Zhang
title	European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
title_short	European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
title_full	European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
title_fullStr	European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
title_full_unstemmed	European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market
title_sort	european spread option pricing with the floating interest rate for uncertain financial market
publisher	Hindawi Limited
series	Mathematical Problems in Engineering
issn	1024-123X 1563-5147
publishDate	2020-01-01
description	In this paper, we investigate the pricing problems of European spread options with the floating interest rate. In this model, uncertain differential equation and stochastic differential equation are used to describe the fluctuation of stock price and the floating interest rate, respectively. We derive the pricing formulas for spread options including the European spread call option and the European spread put option. Finally, numerical algorithms are provided to illustrate our results.
url	http://dx.doi.org/10.1155/2020/2015845
work_keys_str_mv	AT lidongzhang europeanspreadoptionpricingwiththefloatinginterestrateforuncertainfinancialmarket AT yanmeisun europeanspreadoptionpricingwiththefloatinginterestrateforuncertainfinancialmarket AT xiangbomeng europeanspreadoptionpricingwiththefloatinginterestrateforuncertainfinancialmarket
_version_	1715229008822534144

European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market

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