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

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.Comment: Author Information under http://www.physik.fu-berlin.de/~kleinert/institution.html. Latest update of paper (including all PS fonts) at http://www.physik.fu-berlin.de/~kleinert/33