Option Pricing from Path Integral for Non-Gaussian Fluctuations. Natural Martingale and Application to Truncated Lévy Distributions

Abstract

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 Lévy distributions.

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References in corpus (1)

• Stochastic Calculus for Assets with Non-Gaussian Price Fluctuations

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