Option Pricing Model Driven by G-Lévy Process under the G-Expectation Framework  

作　　者：Yingmei Xu Yang Li Yingmei Xu;Yang Li(University of Shanghai for Science and Technology, Shanghai, China)

机构地区：[1]University of Shanghai for Science and Technology, Shanghai, China

出　　处：《Journal of Applied Mathematics and Physics》2023年第1期46-54,共9页应用数学与应用物理（英文）

摘　　要：In this paper, we first present an option pricing model of stochastic differential equations driven by the G-Lévy process under the G-expectation framework, and prove the generalized Black-Scholes equations. Then, we present the algorithm for the time-homogeneous Poisson process versus the non-time-homogeneous Poisson process. Finally, we provide an explicit solution of generalized Black-Scholes equations and simulate it numerically with Matlab software.In this paper, we first present an option pricing model of stochastic differential equations driven by the G-Lévy process under the G-expectation framework, and prove the generalized Black-Scholes equations. Then, we present the algorithm for the time-homogeneous Poisson process versus the non-time-homogeneous Poisson process. Finally, we provide an explicit solution of generalized Black-Scholes equations and simulate it numerically with Matlab software.

关 键 词：Generalized Black-Scholes Equations G-Lévy Process MATLAB 

分 类 号：O17[理学—数学]