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

Physica A: Statistical Mechanics and its Applications

Volumn 312, Issue 1-2, 2002, Pages 217-242

  Kleinert, Hagen ^a  

^a FREIE UNIVERSITÄT BERLIN   (Germany)

Author keywords

[No Author keywords available]

Indexed keywords

ECONOMICS; FINANCE; PARETO PRINCIPLE; STOCHASTIC PROGRAMMING;

LEVY DISTRIBUTIONS; NON-GAUSSIAN FLUCTUATIONS;

INTEGRAL EQUATIONS;

EID: 0036723396     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0378-4371(02)00839-7     Document Type: Article

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