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

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

2002-02-19

arxiv.org/abs/cond-mat/0202311v1

Physica A, 312 (2002) 217

Physics

Condensed Matter

Author Information under http://www.physik.fu-berlin.de/~kleinert/institution.html. Latest update of paper (including all PS

Scientific paper

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 L\'evy distributions.

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