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https://doi.org/10.1007/978-3-642-13694-8

has been cited by the following article:

• TITLE: Black-Scholes Model under G-Lévy Process

  AUTHORS: Yifei Xin, Hong Zheng

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

  JOURNAL NAME: Journal of Applied Mathematics and Physics, Vol.9 No.12, December 29, 2021

  ABSTRACT: 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.