Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment

Hua Deng

doi:doi:10.11648/j.ijsqa.20170306.12

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Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment

Hua Deng

Published in International Journal of Science and Qualitative Analysis (Volume 3, Issue 6)

Received: 21 December 2017 Accepted: 16 January 2018 Published: 2 February 2018

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Abstract

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.

Published in	International Journal of Science and Qualitative Analysis (Volume 3, Issue 6)
DOI	10.11648/j.ijsqa.20170306.12
Page(s)	61-65
Creative Commons	This is an Open Access article, distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution and reproduction in any medium or format, provided the original work is properly cited.
Copyright	Copyright © The Author(s), 2018. Published by Science Publishing Group

Keywords

Knight Uncertainty, The White Sugar Option, Option Pricing

References

[1]	Knight, Frank. Risk, Uncertainty and Profit [M]. Boston: Houghton Mifflin.
[2]	Li Yan Han, Panmin. option pricing based on stochastic volatility under Knightian uncertainty [J]. Systems engineering theory and Practice, 32, 2012, 1175-1183.
[3]	Hull J, White A. The pricing of options on assets with stochastic volatilities [J]. Journal of Finance, 42, 1987, 281-300.
[4]	Zheng Zhenlong. Financial engineering [M]. Beijing: Higher Education Press, 2016.
[5]	John Hull, options, futures and other derivatives [M]. Beijing Tsinghua University press, 2001.
[6]	Hua Deng. The measurement model of credit spread and the application analysis based on Zhuji debt [J]. Journal of Hunan University of Arts and Science. 2015, 6: 35-38.
[7]	Merton R C. Option pricing when underlying stock returns are discontinuous [J]. Journal of Financial Economics, 3, 1976: 125-144.
[8]	Hui Zhang, Xiushan Nie. The minimum pricing model of European stock option under Knight uncertain environment. 2007, 11: 121-126.
[9]	Black F, Scholes M. The valuation of option and corporate liabilities [J]. Journal of Political Economy, 81, 1973, 637-654.
[10]	Meng Liu. The Pricing of Asset and It’s Trading Behavior under the Uncertain Evironment [D]. Master's thesis of Anhui Polytechnic University.

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APA Style

Hua Deng. (2018). Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment. International Journal of Science and Qualitative Analysis, 3(6), 61-65. https://doi.org/10.11648/j.ijsqa.20170306.12

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ACS Style

Hua Deng. Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment. Int. J. Sci. Qual. Anal. 2018, 3(6), 61-65. doi: 10.11648/j.ijsqa.20170306.12

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AMA Style

Hua Deng. Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment. Int J Sci Qual Anal. 2018;3(6):61-65. doi: 10.11648/j.ijsqa.20170306.12

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@article{10.11648/j.ijsqa.20170306.12,
  author = {Hua Deng},
  title = {Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment},
  journal = {International Journal of Science and Qualitative Analysis},
  volume = {3},
  number = {6},
  pages = {61-65},
  doi = {10.11648/j.ijsqa.20170306.12},
  url = {https://doi.org/10.11648/j.ijsqa.20170306.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijsqa.20170306.12},
  abstract = {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.},
 year = {2018}
}

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TY  - JOUR
T1  - Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment
AU  - Hua Deng
Y1  - 2018/02/02
PY  - 2018
N1  - https://doi.org/10.11648/j.ijsqa.20170306.12
DO  - 10.11648/j.ijsqa.20170306.12
T2  - International Journal of Science and Qualitative Analysis
JF  - International Journal of Science and Qualitative Analysis
JO  - International Journal of Science and Qualitative Analysis
SP  - 61
EP  - 65
PB  - Science Publishing Group
SN  - 2469-8164
UR  - https://doi.org/10.11648/j.ijsqa.20170306.12
AB  - 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.
VL  - 3
IS  - 6
ER  -

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Author Information

Hua Deng

Department of Mathematics and Finance, Hunan University of Humanities, Science and Technology, Loudi, China

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APA Style

Hua Deng. (2018). Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment. International Journal of Science and Qualitative Analysis, 3(6), 61-65. https://doi.org/10.11648/j.ijsqa.20170306.12

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ACS Style

Hua Deng. Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment. Int. J. Sci. Qual. Anal. 2018, 3(6), 61-65. doi: 10.11648/j.ijsqa.20170306.12

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AMA Style

Hua Deng. Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment. Int J Sci Qual Anal. 2018;3(6):61-65. doi: 10.11648/j.ijsqa.20170306.12

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@article{10.11648/j.ijsqa.20170306.12,
  author = {Hua Deng},
  title = {Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment},
  journal = {International Journal of Science and Qualitative Analysis},
  volume = {3},
  number = {6},
  pages = {61-65},
  doi = {10.11648/j.ijsqa.20170306.12},
  url = {https://doi.org/10.11648/j.ijsqa.20170306.12},
  eprint = {https://article.sciencepublishinggroup.com/pdf/10.11648.j.ijsqa.20170306.12},
  abstract = {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.},
 year = {2018}
}

Copy | Download

TY  - JOUR
T1  - Analysis on the Pricing of White Sugar Options Under Knight Uncertainty Environment
AU  - Hua Deng
Y1  - 2018/02/02
PY  - 2018
N1  - https://doi.org/10.11648/j.ijsqa.20170306.12
DO  - 10.11648/j.ijsqa.20170306.12
T2  - International Journal of Science and Qualitative Analysis
JF  - International Journal of Science and Qualitative Analysis
JO  - International Journal of Science and Qualitative Analysis
SP  - 61
EP  - 65
PB  - Science Publishing Group
SN  - 2469-8164
UR  - https://doi.org/10.11648/j.ijsqa.20170306.12
AB  - 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.
VL  - 3
IS  - 6
ER  -

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