OPTION PRICING WITH FLOATING INTEREST RATE IN UNCERTAIN ENVIRONMENT

As respect that stochastic differential equations can’t cover the uncertainty in financial markets, in this paper, the pricing formulas for European options are obtained under the assumptions that underlying asset prices follows uncertain differential equation and the uncertain interest rate is floating. We have introduced an uncertain renewal process based on uncertain Liu theory, which interarrival times are uncertain variables in the frame of a geometric Liu process and renewal uncertain process with floating uncertain interest rate; and is proved that this model can be used to computing the prices of European options (call and put) on stocks in uncertain environment.