A Girsanov Type Theorem Under G-Framework

作者:Xu, Jing; Shang, Hao; Zhang, Bo*
来源:Stochastic Analysis and Applications, 2011, 29(3): 386-406.
DOI:10.1080/07362994.2011.548985

摘要

This article establishes a Girsanov type theorem under the G-Framework of Peng [15]. Our result generalizes the classical Girsanov theorem for Brownian motion [10]. As an application, we price the European call option when the underlying asset's price follows the Geometric G-Brownian motion.