The PDEs and numerical scheme for derivatives under uncertainty volatility (Q2298029)
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scientific article; zbMATH DE number 7170416
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| English | The PDEs and numerical scheme for derivatives under uncertainty volatility |
scientific article; zbMATH DE number 7170416 |
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The PDEs and numerical scheme for derivatives under uncertainty volatility (English)
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20 February 2020
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Summary: 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.
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0.787061870098114
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0.7802644968032837
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0.7655444741249084
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