Paper Title:
Dynamic Robust Pricing Model of European Call Option and Empirical Research in Fractional Market
  Abstract

The fractional financial market with Knightian uncertainty is studied. We get the dynamic robust pricing model of European call option. Using the important theories of the quasi conditional expectation and the quasi martingale, we get the explicit solution of the model. By making empirical research on the financial product of Chinese bank ahead 09004, we depict the important impacts of the Knightian uncertainty on the robust pricing of European call option.

  Info
Periodical
Advanced Materials Research (Volumes 368-373)
Chapter
Chapter 8: Infrastructure Construction Management and Sustainable Urban Development
Edited by
Qing Yang, Li Hua Zhu, Jing Jing He, Zeng Feng Yan and Rui Ren
Pages
3226-3229
DOI
10.4028/www.scientific.net/AMR.368-373.3226
Citation
H. Zhang, W. Y. Meng, "Dynamic Robust Pricing Model of European Call Option and Empirical Research in Fractional Market", Advanced Materials Research, Vols. 368-373, pp. 3226-3229, 2012
Online since
October 2011
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Price
$32.00
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