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

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  • Lidong Zhang
  • Yanmei Sun
  • Xiangbo Meng

Abstract

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.

Suggested Citation

  • Lidong Zhang & Yanmei Sun & Xiangbo Meng, 2020. "European Spread Option Pricing with the Floating Interest Rate for Uncertain Financial Market," Mathematical Problems in Engineering, Hindawi, vol. 2020, pages 1-8, May.
    • Handle: RePEc:hin:jnlmpe:2015845
    DOI: 10.1155/2020/2015845
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