Saved in:
| Main Authors: | , |
|---|---|
| Format: | Preprint |
| Published: |
2019
|
| Subjects: | |
| Online Access: | https://arxiv.org/abs/1911.13070 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Table of Contents:
- In this paper, we study the discrete-time approximation schemes for a class of backward stochastic differential equations driven by $G$-Brownian motion ($G$-BSDEs) which corresponds to the hedging pricing of European contingent claims. By introducing an auxiliary extended $\widetilde{G}$-expectation space, we propose a class of $θ$-schemes to discrete $G$-BSDEs in this space. With the help of nonlinear stochastic analysis techniques and numerical analysis tools, we prove that our schemes admit half-order convergence for approximating $G$-BSDE in the general case. In some special cases, our schemes can achieve a first-order convergence rate. Finally, we give an implementable numerical scheme for $G$-BSDEs based on Peng's central limit theorem and illustrate our convergence results with numerical examples.