G-期望框架下G-Lévy过程的Black-Scholes公式  

Black-Scholes Formula for G-Lévy Process under G-Expectation Framework

作　　者：郑红 李洋 

机构地区：[1]上海理工大学理学院,上海

出　　处：《理论数学》2023年第5期1363-1369,共7页Pure Mathematics

摘　　要：随着金融市场的蓬勃发展,Black-Scholes公式得到了广泛研究,我们考虑在G-期望框架下,对于G-布朗运动和G-跳过程共同驱动的线性随机微分方程,由G-伊藤公式和泰勒公式,严格得到了Black-Scholes公式并给出了证明。With the rapid development of the financial market, Black-Scholes formula has been widely studied. We consider that under the G-expectation framework, for the linear stochastic differential equation driven by G-Brownian motion and G-jump process, the Black-Scholes formula is strictly obtained and proved by G-Ito formula and Taylor formula.

关 键 词：BLACK-SCHOLES方程 G-期望 G-Lévy过程 G-伊藤公式 

分 类 号：O17[理学—数学]