Dynamic Robust Pricing Model of European Call Option and Empirical Research in Fractional Market
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.
Qing Yang, Li Hua Zhu, Jing Jing He, Zeng Feng Yan and Rui Ren
H. Zhang and 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