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The Bermuda option, as a special type of single-point option, allows the holder to choose whether to exercise at a finite number of specific time points (such as the end of each month), which increases their pricing complexity. This paper investigates the pricing strategies for Bermuda call and put options in a floating interest rate environment within the framework of uncertainty theory. First, based on the α-path of uncertain differential equations, the corresponding pricing formulas are derived, and numerical algorithms are developed to compute the numerical solutions of these formulas. Next, the trends of how various parameters in the formulas affect the prices are further analyzed. Finally, using real financial market data, estimated parameters are obtained via the method of moment estimation, and numerical experiments are conducted to validate the effectiveness of the pricing formulas. Empirical results demonstrate that the floating interest rate Bermuda option pricing formula based on uncertainty theory accurately reflects real market conditions.
Liu et al. (2026) studied this question.