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We use the stochastic differential equations (SDE) driven by G-Brownian motion to describe the basic assets (such as stocks) price processes with volatility uncertainty. We give the estimation method of… Click to show full abstract
We use the stochastic differential equations (SDE) driven by G-Brownian motion to describe the basic assets (such as stocks) price processes with volatility uncertainty. We give the estimation method of the SDE’s parameters. Then, by the nonlinear Feynman-Kac formula, we get the partial differential equations satisfied by the derivatives. At last, we give a numerical scheme to solve the nonlinear partial differential equations.
Keywords:
uncertainty;
volatility;
pdes numerical;
numerical scheme;
differential equations
Journal Title: Mathematical Problems in Engineering
Year Published: 2019
Link to full text (if available)
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Journal Title: Mathematical Problems in Engineering
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!