Convertible bond pricing under uncertain exponential Ornstein-Uhlenbeck model

Convertible bonds are intricate financial derivatives that grant holders the option to convert the bond into shares of the issuer's stock at a set ratio in the future. Different from traditional stochastic theory, this paper explores the pricing problems of convertible bonds under uncertain exponential Ornstein-Uhlenbeck model. The pricing formulae and numerical algorithms for these bonds are presented, respectively. Furthermore, numerical experiments are performed to analyze the sensitivity of bond prices to some parameters. Finally, empirical research demonstrates that the uncertain Ornstein-Uhlenbeck model outperforms the traditional stochastic model.