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European option pricing under the G-Brownian motion environment. (Chinese. English summary) Zbl 1324.91060

Summary: In this paper, we mainly introduce the G-expectation and describe the price of the underlying asset with G-geometric Brownian motion. Then we obtain the dynamic pricing formula of European call options and European call power options with constant dividend rates.

MSC:

91G20 Derivative securities (option pricing, hedging, etc.)
62P05 Applications of statistics to actuarial sciences and financial mathematics
60J70 Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
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