title: Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Levy 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 Levy distributions
keyphrases: option pricing path integrals natural martingale truncated Levy distributions stochastic calculus stocks bonds nonGaussian fluctuations