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

Option pricing plays an important role in modern finance. Interest rate is an important economic indicator and always influenced by some uncertain factors. It is necessary to consider the floating interest rate when we explore the option pricing. This paper introduces a new uncertain stock model with floating interest rate. In this new stock model, the pricing formulas for European, American and Asian options are derived. Furthermore, some numerical examples are given.

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