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

Abstract:

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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.

Info:

Periodical:

Advanced Materials Research (Volumes 368-373)

Edited by:

Qing Yang, Li Hua Zhu, Jing Jing He, Zeng Feng Yan and Rui Ren

Pages:

3226-3229

DOI:

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

Citation:

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

Online since:

October 2011

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Price:

$35.00

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