Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty

Hui Zhang; Wen Yu Meng

doi:10.4028/www.scientific.net/AMR.271-273.675

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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 271-273Dynamic Robust Pricing Model of European Call...

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.

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Periodical:

Advanced Materials Research (Volumes 271-273)

Pages:

675-678

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.271-273.675

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Online since:

July 2011

Authors:

Hui Zhang, Wen Yu Meng

Keywords:

Fractional Brownian Motion, Knightian Uncertaint, Quasi Conditional Expectation, Quasi Martingale, Robust Pricing

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