The distribution of the returns for a stock are not well described by a normal probability density function (pdf). Student's t-distributions, which have fat tails, are known to fit the distributions of the returns. We present pricing of European call or put options using a log Student's...

European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Student's t-distribution a Gosset approach, in honour of W.S. Gosset. In this paper, we compare the...

The time development of the price of a financial asset is considered by constructing and solving Langevin equations for a homogeneously saturated model, and for comparison, for a standard model and for a logistic model. The homogeneously saturated model uses coupled rate equations for the money...

A homogeneously saturated equation for the time development of the price of a financial asset is presented and investigated for the pricing of European call options using noise that is distributed as a Student's t-distribution. In the limit that the saturation parameter of the equation equals...