Option pricing problem is one of the central issue in the theory of modern finance. Uncertain currency model has been put forward under the foundation of uncertainty theory as a tool to portray the foreign exchange rate in uncertain finance market. This paper uses uncertain differential equation involved by Liu process to dispose of the foreign exchange rate. Then an American barrier option of currency model in uncertain environment is investigated. Most important of all, the authors deduce the formulas to price four types of American barrier options for this currency model in uncertain environment by rigorous derivation.

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不确定环境下货币模型的美式障碍期权定价公式

期权定价问题是现代金融理论的中心问题之一。不确定货币模型是在不确定性理论的基础上提出的，作为刻画不确定金融市场中外汇汇率的工具。本文利用刘过程涉及的不确定微分方程来处理外汇汇率问题。然后研究了不确定环境下的美式障碍期权货币模型。最重要的是，作者通过严格的推导，推导出该货币模型在不确定环境下四种美式障碍期权的定价公式。