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Avellaneda, M., Lèvy, A. and Paras, A. (1995) Pricing and Hedging Derivatives Securities in Markets with Uncertain Volatilities. Applied Mathematical Finance, 2, 73-88. https://doi.org/10.1080/13504869500000005

has been cited by the following article:

• TITLE: Application of G-Brown Motion in the Stock Price

  AUTHORS: Chuankang Chai

  KEYWORDS: G-Expectation, G-Brown Motion, G-Quadratic Variation

  JOURNAL NAME: Journal of Mathematical Finance, Vol.10 No.1, December 20, 2019

  ABSTRACT: We use the G-geometric Brownian motion and G-quadratic variation process to describe the price change of the asset. We prove that American call options do not pay dividends under G-framework. Finally we can simulate the stock price under the numerical simulation of G-brown motion and G-quadratic variation process.