Work

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

Year: 2002

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/s0378-4371(02)00839-7

Author: Hagen Kleinert

Institution: Freie Universität Berlin

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2002889614

FWCI: 2.178

Cites: 50

Cited by: 25

Related to: 10