Dynamic Robust Pricing Model of European Call Option and Empirical Research in Fractional Market
2011 ◽
Vol 368-373
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pp. 3226-3229
Keyword(s):
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.
2011 ◽
Vol 271-273
◽
pp. 675-678
2018 ◽
Vol 339
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pp. 186-198
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Keyword(s):
Keyword(s):
Studies on European Call Option of Binomial Option Pricing Model Using Taguchis L27 Orthogonal Array
2019 ◽
Vol 6
(3)
◽
pp. 1
Keyword(s):
2020 ◽
Vol 7
(1/2/3)
◽
pp. 234
Keyword(s):
2017 ◽
Vol 22
(1)
◽
pp. 23
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Keyword(s):