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.