A new model is proposed to price European options under Knightian uncertainty by introducing a grade parameter into the Black-Scholes option pricing model to measure the degree of Knightian uncertainty in the financial market. The paper defines the grade parameter as the measurement of Knight uncertainty through setting the feasible control set，gives the uncertainty’s dual measurement through the capacity of feasible region，and constructs the pricing interval of European call and put options based on the Black-Scholes option model. The backward stochastic differential equation( BSDE) is used to obtain the expression of pricing interval. An empirical study based on the daily returns of SSE 50ETF options，which were listed on February 9， 2015，is conducted and the results are compared with Black-Scholes option pricing. The results show that，under the environment of Knightian uncertainty，the option’s equilibrium price is a pricing interval instead of a certain value. The higher the spot price of the options’under lying asset，the larger the pricing interval; the longer the maturity，the larger the pricing interval. Further，the pricing interval increases with the the degree of Knightian uncertainty. The study shows that the existence of Knightian uncertainty reduces market liquidity， which endogenously explains the puzzle of“non-market participation”，exogenously demonstrates the characteristic of“limited market participation”，and offers a reference for investor’s decision andan empirical evidence for finance supervision.