Robust Pricing Model of Reload Stock Option under Uncertainty
Nie Xiushan · Zhongguo guanli kexue · 2008
The financial market with Knight uncertainty is studied.Assuming the underlying stock asset follows geometric Brownian motion,the models of maximal and minimal pricing of reload stock option are built.Moreover,applying the theories of backward stochastic differential equation and partial differential equation,the models have been converted.At last the explicit solutions of the models have been given by using the theory of stochastic processes.And this paper depicts the important impact of Knight uncertainty on the pricing of reload stock option through numerical analysis.