Option Pricing from Path Integral for Non-Gaussian Fluctuations. Natural Martingale and Application to Truncated L\'evy 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 L\'evy distributions.
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