Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price. But, for Levy processes the S-space transition densities are often very...

In recent years, applications of cohomology theory to some aspects of probability theory have been found useful. In this paper, such applications are discussed for a determination of infinitely divisible positive definite functions on topological groups. This theory can be viewed as a new method...