Xu, J. and Xu, M.P. (2010) European Call Option Price under G-Framework. Mathematics in Practice and Theory, 4, 41-45.
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.