Geodesic
Geometric L\'evy Process Pricing Model
Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 185-200

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We consider models for stock prices that relate to random processes with independent homogeneous increments (Lévy processes). These models are arbitrage-free but correspond to an incomplete financial market. There are many different approaches for pricing financial derivatives. We consider here mainly the approach based on minimal relative entropy. This method is related to a utility function of exponential type and the Esscher transformation of probabilistic measures. 
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     author = {Y. Miyahara and A. Novikov},
     title = {Geometric {L\'evy} {Process} {Pricing} {Model}},
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     year = {2002},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TM_2002_237_a8/}
}
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Y. Miyahara; A. Novikov. Geometric L\'evy Process Pricing Model. Trudy Matematicheskogo Instituta imeni V.A. Steklova, Stochastic financial mathematics, Tome 237 (2002), pp. 185-200. http://geodesic.mathdoc.fr/item/TM_2002_237_a8/