  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.
