The Price of Interest-Rate Derivatives Based on Uncertain Mean-Reverting Model

The interest rate is a key factor in the financial market. Various widely used interest rate derivatives, such as zero-coupon bond, interest rate ceiling, interest rate floor and currency exchange rate, are based on the interest rate. This paper assumes that the interest rate follows the uncertain mean-reverting differential equation and introduces some formulas for pricing zero-coupon bond, interest rate ceiling and interest rate floor within this model. Additionally, this paper provides numerical examples to show how these pricing formulas can be applied.