Dynamic Robust Pricing Model of European Call Option under the Fractional Market with Knightian Uncertainty
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.
H. Zhang and 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