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Quafoudi, M. and Gao, F. (2018) Exact Solution of Fractional Black-Scholes European Option Pricing Equations. Applied Mathematics, 9, 86-100.
https://doi.org/10.4236/am.2018.91006

has been cited by the following article:

• TITLE: Option Pricing Model Driven by G-Lévy Process under the G-Expectation Framework

  AUTHORS: Yingmei Xu, Yang Li

  KEYWORDS: Generalized Black-Scholes Equations, G-Lévy Process, Matlab

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.11 No.1, January 16, 2023

  ABSTRACT: In this paper, we first present an option pricing model of stochastic differential equations driven by the G-Lévy process under the G-expectation framework, and prove the generalized Black-Scholes equations. Then, we present the algorithm for the time-homogeneous Poisson process versus the non-time-homogeneous Poisson process. Finally, we provide an explicit solution of generalized Black-Scholes equations and simulate it numerically with Matlab software.