Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Time Consistent Bid-Ask Dynamic Pricing Mechanisms for Contingent Claims
  and Its Numerical Simulations Under Uncertainty   We study time consistent dynamic pricing mechanisms of European contingent
claims under uncertainty by using G framework introduced by Peng ([24]). We
consider a financial market consisting of a riskless asset and a risky stock
with price process modelled by a geometric generalized G-Brownian motion, which
features the drift uncertainty and volatility uncertainty of the stock price
process. Using the techniques on G-framework we show that the risk premium of
the asset is uncertain and distributed with maximum distribution. A time
consistent G-expectation is defined by the viscosity solution of the G-heat
equation. Using the time consistent G-expectation we define the G dynamic
pricing mechanism for the claim. We prove that G dynamic pricing mechanism is
the bid-ask Markovian dynamic pricing mechanism. The full nonlinear PDE is
derived to describe the bid (resp. ask) price process of the claim. Monotone
implicit characteristic finite difference schemes for the nonlinear PDE are
given, nonlinear iterative schemes are constructed, and the simulations of the
bid (resp. ask) prices of contingent claims under uncertainty are implemented.

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The categories of this paper are: math
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The categories of this paper are: eess
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The categories of this paper are: hep-ph
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The categories of this paper are: hep-ex
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The categories of this paper are: cs
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The categories of this paper are: nlin
23
The categories of this paper are: solv-int
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The categories of this paper are: hep-th
36
The categories of this paper are: cmp-lg
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The categories of this paper are: nucl-ex
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The categories of this paper are: chem-ph
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The categories of this paper are: comp-gas
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The categories of this paper are: plasm-ph
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The categories of this paper are: astro-ph
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The categories of this paper are: funct-an
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The categories of this paper are: math-ph