Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment
International Journal of Science and Qualitative Analysis
Volume 3, Issue 6, November 2017, Pages: 61-65
Received: Dec. 21, 2017; Accepted: Jan. 16, 2018; Published: Feb. 2, 2018
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Hua Deng, Department of Mathematics and Finance, Hunan University of Humanities, Science and Technology, Loudi, China
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There is a particular situation in the financial market that the natural state space is known and the probability distribution is unknown which called Knight Uncertainty. The strict assumption of the traditional pricing model in the past was challenged. The influence of Knight Uncertainty on the pricing of financial derivatives white sugar options is discussed. The price of white sugar option in China is empirical analyzed by using the option pricing model under Knight Uncertain environment. The pricing interval of the option is obtained by using the net uncertainty coefficient. At the same time, it is found that the parameters of Knight Uncertainty directly affect the accuracy of pricing through comparison with real price. It can fit well with the real price if taking the appropriate size of the net uncertainty metric parameter. The research results can provide theoretical support for investors and regulators.
Knight Uncertainty, The White Sugar Option, Option Pricing
To cite this article
Hua Deng, Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment, International Journal of Science and Qualitative Analysis. Vol. 3, No. 6, 2017, pp. 61-65. doi: 10.11648/j.ijsqa.20170306.12
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This article is an open access article distributed under the Creative Commons Attribution License ( which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.
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