• Title of article

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

  • Author/Authors

    Hagen Kleinert، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2002
  • Pages
    26
  • From page
    217
  • To page
    242
  • 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 Lèvy distributions.
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Serial Year
    2002
  • Journal title
    Physica A Statistical Mechanics and its Applications
  • Record number

    867909