Cassidy, Daniel T. - In: Physica A: Statistical Mechanics and its Applications 390 (2011) 15, pp. 2794-2802
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,...