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
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