The PDEs and numerical scheme for derivatives under uncertainty volatility
Applications of statistics to actuarial sciences and financial mathematics (62P05) Numerical solutions to stochastic differential and integral equations (65C30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Financial applications of other theories (91G80)
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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