Author(s)

Yifei Xin, Hong Zheng

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

In this paper, we study the option price theory of stochastic differential equations under G-Lévy process. By using G-Itô formula and G-expectation property, we give the proof of Black-Scholes equations (Integro-PDE) under G-Lévy process. Finally, we give the simulation of G-Lévy process and the explicit solution of Black-Scholes under G-Lévy process.

G-Lévy Process, G-Itô Formula, Integro-PDE

Xin, Y. and Zheng, H. (2021) Black-Scholes Model under G-Lévy Process. Journal of Applied Mathematics and Physics, 9, 3202-3210. doi: 10.4236/jamp.2021.912209.