G-期望框架下G-Lévy过程的Black-Scholes公式
Black-Scholes Formula for G-Lévy Process under G-Expectation Framework
摘要: 随着金融市场的蓬勃发展，Black-Scholes公式得到了广泛研究，我们考虑在G-期望框架下，对于G-布朗运动和G-跳过程共同驱动的线性随机微分方程，由G-伊藤公式和泰勒公式，严格得到了Black-Scholes公式并给出了证明。
Abstract: With the rapid development of the financial market, Black-Scholes formula has been widely studied. We consider that under the G-expectation framework, for the linear stochastic differential equation driven by G-Brownian motion and G-jump process, the Black-Scholes formula is strictly obtained and proved by G-Ito formula and Taylor formula.
文章引用：郑红, 李洋. G-期望框架下G-Lévy过程的Black-Scholes公式[J]. 理论数学, 2023, 13(5): 1363-1369. https://doi.org/10.12677/PM.2023.135139

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