Option Pricing for Symmetric L\'evy Returns with Applications
  This paper considers options pricing when the assumption of normality is replaced with that of the symmetry of the underlying distribution. Such a market affords many equivalent martingale measures (EMM). However we argue (as in the discrete-time setting of Klebaner and Landsman, 2007) that an EMM that keeps distributions within the same family is a "natural" choice. We obtain Black-Scholes type option pricing formulae for symmetric Variance-Gamma and symmetric Normal Inverse Gaussian models. 
Kais Hamza, Fima C. Klebaner, Zinoviy Landsman and Ying-Oon Tan
q-fin.PR math.PR