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.