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

Abstract:

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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 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

Online since:

July 2011

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Price:

$35.00

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