Options play a very important role in the financial market, and option pricing has become one of the focus issues discussed by the scholars. This paper proposes a new uncertain mean-reverting stock model with floating interest rate, where the interest rate is assumed to be the uncertain Cox-Ingersoll-Ross (CIR) model. The European option and American option pricing formulas are derived via the
α
-path method. In addition, some mathematical properties of the uncertain option pricing formulas are discussed. Subsequently, several numerical examples are given to illustrate the effectiveness of the proposed model.
A lookback option is a path-dependent option, offering a payoff that depends on the maximum or minimum value of the underlying asset price over the life of the option. This paper presents a new mean-reverting uncertain stock model with a floating interest rate to study the lookback option price, in which the processing of the interest rate is assumed to be the uncertain counterpart of the Cox–Ingersoll–Ross (CIR) model. The CIR model can reflect the fluctuations in the interest rate and ensure that such rate is positive. Subsequently, lookback option pricing formulas are derived through the α-path method and some mathematical properties of the uncertain option pricing formulas are discussed. In addition, several numerical examples are given to illustrate the effectiveness of the proposed model.
The commissioning of a nuclear power plant (NPP) is the last stage in the life cycle of an NPP before commercial operation. Human errors in this stage cannot only harm workers' safety but can also cause damage to system facilities, postpone the commissioning schedule, and become latent problems in the system if the errors are not discovered during the commissioning stage. Therefore, identifying and controlling potential human errors is of great importance at this stage. This study first reviewed
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