Dynamic Robust Pricing Model of European Call Option and Empirical Research in Fractional Market

Hui Zhang; Wen Yu Meng

doi:10.4028/www.scientific.net/AMR.368-373.3226

Paper Titles

Study on the Mechanical Properties of Rubber Gasketed Joints in Segmented Pipeline
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Research of Resource-Exhausted Mining Site Regeneration
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Research on Financing Patterns of China's Public Sports Venues
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Influence of Different Anode Materials on the Treatment of Azo Dyed Wastewater by Electrochemical Method
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Dynamic Robust Pricing Model of European Call Option and Empirical Research in Fractional Market
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Numerical Simulation of Interface Softening for Large Size Direct Shear Test
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Study on the Value of Serial Properties:Taking Tianjin’s Beitang Battery as a Case
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Factors Influencing the Strength of Alkali-Activated Slag Cement
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Cantilever Structures’ Environment Symbiosis Technologies in Mountainous Housings
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HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 368-373Dynamic Robust Pricing Model of European Call...

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.