The Pricing Of Asset And It's Trading Behavior Under The Uncertain Evironment

Uncertainty refers to all other states except risk(with uncertainty of probability distribution),collectively referred to as Knight uncertainty or ambiguity.Uncertainty is not only one of the basic characteristics of the securities market,but also the main content of the research on the pricing of risk assets and the behavior of investors.However,many scholars put the portion of the risk premium outside the asset premium into a general noise,and put it with Knight uncertainty equivalent to the study.In fact,Knight uncertainty is mainly due to the noise of the investor information set,then change of the investor's attitude or emotion,which in turn affects the asset pricing and its trading behavior.Therefore,the study of asset pricing and trading behavior in uncertainty environment has strong theoretical and practical significance.Assuming that the investor is Knight uncertainty aversion,this paper studies asset pricing and investor transaction behavior from the perspective of Knight uncertainty based on the Black-Scholes pricing model and the capacity expectancy utility model.By setting a grade parameter to measure the degree of Knight uncertainty from the asset noise in the financial market,this paper constructs the pricing model of European call and put options,it uses the backward stochastic differential equation(BSDE)to obtain the expression of pricing interval;and it gives the preferential expression of investor's decision behavior under Knight uncertainty by using the capacity instead of the probability measure;based on the conjugate measure,it constructs the inertia interval of asset trading and analyzes the relationship between the degree of Knight uncertainty and the inertia interval.Then,it does an empirical study based on the daily return of domestic option data,the result shows that the objective existence of Knight uncertainty leads to the existence of the pricing interval of the asset,and the pricing interval is affected by the current price of options' underlying asset and the options' maturity time,and also the pricing interval of options expands with the increasing of the degree of Knight uncertainty;meanwhile,Knight uncertainty further influences the behavior of investors,making the asset transaction in the inertia interval,the different options products and different degrees of Knight uncertainty will affect the inertia interval.This paper expresses the relationship between uncertainty and asset pricing and its trading behavior,and discerns the economic phenomena and characteristics of the securities market,it is pointed out that the influence of Knight uncertainty on the financial market,can not only analyze the relationship between the risk of information and liquidity in traditional finance,such as asset pricing and market liquidity,but also explain the puzzles of "non-market participation" and "the idiosyncratic volatility" in the security market from the perspective of uncertainty,and demonstrates the characteristic of "limited market participation" in the security market.