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

被引：0

作者：

Zhang, Hui ^{[1
]}

Meng, Wenyu ^{[2
]}

机构：

[1] Shandong Univ Finance & Econ, Sch Math & Stat, Jinan 250014, Peoples R China

[2] Shandong Univ, Ctr Econom Res, Jinan 250100, Peoples R China

来源：

ADVANCES IN CIVIL ENGINEERING AND ARCHITECTURE INNOVATION, PTS 1-6 | 2012年 / 368-373卷

关键词：

robust pricing; fractional Brownian motion; quasi conditional expectation; empirical research; Knightian uncertainty; TIME;

D O I：

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

中图分类号：

TU [建筑科学];

学科分类号：

0813 ;

摘要：

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.

引用

页码：3226 / +

页数：2

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