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

被引：0
|
作者：
Zhang, Hui [1 ]
Meng, Wenyu [1 ]
机构：
[1] Shandong Univ Finance, Sch Math & Stat, Jinan 250014, Peoples R China
来源：
ADVANCED MATERIALS AND INFORMATION TECHNOLOGY PROCESSING, PTS 1-3 | 2011年 / 271-273卷
关键词：
robust pricing; fractional Brownian motion; quasi conditional expectation; quasi martingale; Knightian uncertaint;
D O I：
10.4028/www.scientific.net/AMR.271-273.675
中图分类号：
G40 [教育学];
学科分类号：
040101 ; 120403 ;
摘要：
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.
引用
收藏
页码：675 / 678
页数：4
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