41 citations · 41 across the 2 of their papers we have counts for
2 papers
q-fin.PR2010
Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
Daniel T. Cassidy, Michael J. Hamp, Rachid Ouyed
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 optio…
q-fin.PR2009★ 41 cited
Pricing European Options with a Log Student's t-Distribution: a Gosset Formula
Daniel T. Cassidy, Michael J. Hamp, Rachid Ouyed
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…