Abstract
As an important macroeconomic variable and monetary policy tool, interest rate has been included in the core of the economic analysis for a long time. Reasonable interest rate is significant in the aspects of improving the social credit level and playing the economic leverage role, so the modeling approach of interest rate is our concern. This paper proposes a new interest rate model on the basis of exponential Ornstein–Uhlenbeck equation under the uncertain environment. Based on the model, the pricing formulas of the zero-coupon bond, interest rate ceiling and interest rate floor are derived through the Yao–Chen formula. In addition, some numerical algorithms are designed to calculate the prices of derivations according to the pricing formulas above.
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