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Application of G-Brown Motion in the Stock Price
University of Shanghai for Science and Technology, Shanghai, China
- 1 University of Shanghai for Science and Technology, Shanghai, China
Journal of Mathematical Finance·Volume 10 (2019)·Pages 27–34·Published 12 December 2019·DOI10.4236/jmf.2020.101003
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Abstract
We use the G-geometric Brownian motion and G-quadratic variation process to describe the price change of the asset. We prove that American call options do not pay dividends under G-framework. Finally we can simulate the stock price under the numerical simulation of G-brown motion and G-quadratic variation process.
KeywordsG-ExpectationG-Brown MotionG-Quadratic Variation
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