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Uncertain barrier American options pricing problems based on floating interest rate

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Abstract

A Knock-in option is a path-dependent barrier option whose payoff depends on whether the value of the underlying asset reaches a specific threshold. In this paper, we establish an uncertain stock model with a floating interest rate and provide the pricing formulas for American knock-in options. Besides, we present parameter estimation for the uncertain stock model and conduct an uncertain hypothesis test to demonstrate its good fit with the closing price of Ping An Bank (000001.SZ).

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Acknowledgements

This research was supported by the Project of Teachers’ Constructions in Beijing Municipal Universities in the period of 14th Five-year Plan (No. BPHR20220120) and R &D Program of Beijing Municipal Education Commission (No. KM202110038001).

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Authors and Affiliations

  1. School of Management and Engineering, Capital University of Economics and Business, Beijing, 100070, China

    Lifen Jia, Jiarui Jiang & Fengjia Guo

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  1. Lifen Jia
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  2. Jiarui Jiang
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  3. Fengjia Guo
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Correspondence to Fengjia Guo.

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Jia, L., Jiang, J. & Guo, F. Uncertain barrier American options pricing problems based on floating interest rate. J. of Data, Inf. and Manag. 5, 255–265 (2023). https://doi.org/10.1007/s42488-023-00102-z

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