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<p>In financial markets, option pricing has an important role to play and volatility is a very critical factor when considering investment, hedging and risk control. This paper proposes an uncertain multifactor volatility model under the exponential Ornstein–Uhlenbeck mean reversion process, modeling volatility in the long and short term. Then the European option pricing formula is derived and a numerical method is provided to price European options. Finally, an empirical analysis is performed based on the CSI 300 ETF option and gives a pricing forecast for option contracts compared to the real option price to verify the validity of the model.</p>

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European option pricing under uncertain multifactor exponential Ornstein–Uhlenbeck volatility model

  • 期刊论文

  • 发表日期：

    2025年3月7日

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  • Li Li,
  • Gang Shi,
  • Lijing Zhou,
  • Yuhong Sheng

摘要

In financial markets, option pricing has an important role to play and volatility is a very critical factor when considering investment, hedging and risk control. This paper proposes an uncertain multifactor volatility model under the exponential Ornstein–Uhlenbeck mean reversion process, modeling volatility in the long and short term. Then the European option pricing formula is derived and a numerical method is provided to price European options. Finally, an empirical analysis is performed based on the CSI 300 ETF option and gives a pricing forecast for option contracts compared to the real option price to verify the validity of the model.