European option pricing under uncertain multifactor exponential Ornstein-Uhlenbeck volatility model

In financial markets, option pricing has an important role to play and volatility is a very critical factor when considering investment, hedging and risk control. This paper proposes an uncertain multifactor volatility model under the exponential Ornstein-Uhlenbeck mean reversion process, modeling volatility in the long and short term. Then the European option pricing formula is derived and a numerical method is provided to price European options. Finally, an empirical analysis is performed based on the CSI 300 ETF option and gives a pricing forecast for option contracts compared to the real option price to verify the validity of the model.