In this paper, we study the option price theory of stochastic differential equations under G-Lévy process. By using G-It<span style="font-size:12px;white-space:nowrap;">ô</span> for...In this paper, we study the option price theory of stochastic differential equations under G-Lévy process. By using G-It<span style="font-size:12px;white-space:nowrap;">ô</span> formula and G-expectation property, we give the proof of Black-Scholes equations (Integro-PDE) under G-Lévy process. Finally, we give the simulation of G-Lévy process and the explicit solution of Black-Scholes under G-Lévy process.展开更多
文摘In this paper, we study the option price theory of stochastic differential equations under G-Lévy process. By using G-It<span style="font-size:12px;white-space:nowrap;">ô</span> formula and G-expectation property, we give the proof of Black-Scholes equations (Integro-PDE) under G-Lévy process. Finally, we give the simulation of G-Lévy process and the explicit solution of Black-Scholes under G-Lévy process.
