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

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.