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
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
Journal title :
Physica A Statistical Mechanics and its Applications