Cassidy, Daniel T.; Hamp, Michael J.; Ouyed, Rachid - arXiv.org - 2010
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...