Cassidy, Daniel T.; Hamp, Michael J.; Ouyed, Rachid - In: Quantitative Finance 13 (2013) 8, pp. 1289-1302
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...