Title :
Knightian Uncertainty and Dynamic Robust Pricing of Reload Stock Option
Author :
Zhang Hui ; Meng Wenyu ; Lai Xiang
Author_Institution :
Sch. of Stat. & Math., Shandong Finance Univ., Jinan, China
Abstract :
The financial market with Knightian uncertainty is studied. Applying the important theories of backward stochastic differential equation and the method of time-risk discount, the dynamic robust pricing model of reload stock option has been studied. The explicit solution of the model has been given. At last, the article takes the stock of Sinopec as example to perform numerical analysis. The paper depicts the important impact of Knightian uncertainty and the reload time on the dynamic robust pricing of reload stock option.
Keywords :
differential equations; pricing; stochastic processes; stock markets; uncertainty handling; Knightian uncertainty; Sinopec; backward stochastic differential equation; dynamic robust pricing; financial market; reload stock option; time-risk discount; Automation; Differential equations; Mathematics; Mechatronics; Numerical analysis; Pricing; Robustness; Statistics; Stochastic processes; Uncertainty; Knightian uncertainty; backward stochastic differential equation; reload stock option; robust pricing; time-risk discount;
Conference_Titel :
Measuring Technology and Mechatronics Automation (ICMTMA), 2010 International Conference on
Conference_Location :
Changsha City
Print_ISBN :
978-1-4244-5001-5
Electronic_ISBN :
978-1-4244-5739-7
DOI :
10.1109/ICMTMA.2010.218
