The PDEs and Numerical Scheme for Derivatives under Uncertainty Volatility

Yulian Fan

Mathematical Problems in Engineering, 2019, vol. 2019, 1-7

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.

Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:1268301

DOI: 10.1155/2019/1268301

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