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

机译：骑士不确定环境下白糖期权的定价分析

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摘要

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.
机译：在金融市场中，有一种特殊情况，即自然状态空间已知，而概率分布未知，这被称为“骑士不确定性”。过去对传统定价模型的严格假设提出了挑战。讨论了Knight不确定性对金融衍生产品白糖期权定价的影响。利用奈特不确定环境下的期权定价模型，对中国白糖期权的价格进行了实证分析。期权的定价间隔通过使用净不确定性系数获得。同时发现，骑士不确定性的参数通过与实际价格的比较直接影响定价的准确性。如果采用适当的净不确定性度量参数，则它可以与实际价格很好地吻合。研究结果可为投资者和监管机构提供理论支持。

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