Paper Title:
Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty
  Abstract

The fractional financial market with Knightian uncertainty is studied. Using the important theories of the quasi conditional expectation and the quasi martingale, we establish the dynamic robust pricing model of European call option and get the explicit solution of the model.

  Info
Periodical
Advanced Materials Research (Volumes 271-273)
Edited by
Junqiao Xiong
Pages
675-678
DOI
10.4028/www.scientific.net/AMR.271-273.675
Citation
H. Zhang, W. Y. Meng, "Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty", Advanced Materials Research, Vols. 271-273, pp. 675-678, 2011
Online since
July 2011
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