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中文摘要：
基于可行域的容度概念,引入一等级参数测度奈特不确定性程度,研究奈特不确定性规避者的资产交易价格行为。通过容度代替概率测度,基于容度期望效用模型获得奈特不确定性规避者的交易行为偏好,构建对偶测度下的资产交易价格惰性区间;以上证50期权2015年2月9日至9月23日的日收益数据为样本予以实证,并与传统Black-Scholes期权定价模型对比。结果表明,在奈特不确定性环境下,资产交易价格存在＂惰性区间＂;该惰性区间随奈特不确定性程度的不断增强（减弱）而不断扩大（缩小）,其中,惰性区间的扩大呈边际递减趋势;同时,惰性区间的扩大（缩小）导致市场流动性存在下降（上升）的趋势。研究内生解释了证券市场上的＂非市场参与＂之谜,外生说明了证券市场上的＂有限市场参与＂特征,并结合中国证券市场特征提出相关建议。
英文摘要：
Based on the capacity of the feasible region,this paper introduces a grade parameter to measure the degree of Knight uncertainty and studies the behavior of asset trading price for the Knight uncertainty aversior.Based on the model of capacity expected utility,it obtains the preference expression of the Knight uncertainty aversior＇s trading behavior by using the capacity instead of the probability measure,and constructs the inertia interval of asset trading price under the conjugate measure;it does an empirical study based on the sample of the daily returns of Shanghai 50 Option Composite Index from February 9th,2015 to September 23 th,2015,and compares the proposed model with the traditional Black-Scholes option pricing model.Results show,under the Knight uncertain environment,asset trading price exists＂inertia interval＂,which expands（shrinks）with the increasing（decreasing）of the degree of Knight uncertainty,among them,the increasing of inertia interval has the trend of marginal diminishing;at the same time,the inertia interval expanding（shrinking）results in the trend of declining（rising）of the market liquidity.The study endogenously explains the puzzle of＂non-market participation＂in the security market,exogenously demonstrates the characteristic of＂limited market participation＂in the security market,and provides some related suggestions based on the characteristics of security market in China.
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