Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions

Within a path integral formalism for non-Gaussian price fluctuations, we set up a simple stochastic calculus and derive a natural martingale for option pricing from the wealth balance of options, stocks, and bonds. The resulting formula is evaluated for truncated Lèvy distributions.

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Year of publication:	2002
Authors:	Kleinert, Hagen
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 312.2002, 1, p. 217-242
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010872183