@article{Zhou2024, 
author = {Shaoling Zhou and Huixin Chai and Xiaosheng Wang},
title = {Barrier option pricing with floating interest rate based on uncertain exponential Ornstein–Uhlenbeck model},
year = {2024},
journal = {AIMS Mathematics},
volume = {9},
number = {9},
pages = {25809-25833},
keywords = {barrier option, exponential Ornstein–Uhlenbeck model, floating interest rate, option pricing, uncertain finance},
url = {https://www.sciopen.com/article/10.3934/math.20241261},
doi = {10.3934/math.20241261},
abstract = {A barrier option is a kind of path-dependent option whose return depends on whether the price of the underlying asset reaches a certain barrier level. This paper mainly analyzes European barrier option pricing formulas for the uncertain exponential Ornstein–Uhlenbeck model with a floating interest rate. The corresponding numerical algorithms for the knock-in and knock-out option prices are designed. Several numerical examples are given to study the relationship between barrier option prices and parameters. Finally, a real-data example is presented to illustrate the option pricing formulas.}
}