Papastathopoulos and Tawn [Papastathopoulos, I., Tawn, J.A., 2013. A generalized Student’s t-distribution. Statistics … & Probability Letters 83, 70–77] proposed a generalization of Student’s t distribution to account for negative degrees of freedom …

Prices for European call options can be calculated for returns that follow a Student’s t-distribution if the t …-distribution is truncated or if the value of the asset is capped. The distributions for n-fold convolution of a Student’s t-distribution … and a truncated Student’s t-distribution, both with ν=3, are considered in this work. It is shown that a truncated Student’s …

call or put options using a log Student’s t-distribution, which we call a Gosset approach in honour of W.S. Gosset, the …