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

The distributions of returns for stocks 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...

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,...