Author(s)

Yingmei Xu, Yang Li

University of Shanghai for Science and Technology, Shanghai, China.

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.

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

Xu, Y. and Li, Y. (2023) Option Pricing Model Driven by G-Lévy Process under the G-Expectation Framework. Journal of Applied Mathematics and Physics, 11, 46-54. doi: 10.4236/jamp.2023.111004.