Based on the behavior analysis of economics, this paper first proposes strict definitions for option writing price, buying price, and fair price in the framework of robust control. Then a closed solution for the value function of the dynamic game is derived by solving the corresponding Bellman equation. Finally explicit expressions for the option price and the hedging strategy are obtained, and comparisons are made between this option pricing method and the traditional stochastic method. The advantages of this option pricing method include：the hedging cost is lower than that of the traditional method ，and the hedging strategy doesn’t require continuous trading，and the infinite divisibility of stock shares while the traditional method does．