Work

Pricing European options with a log Student’s t-distribution: A Gosset formula

Year: 2010

Type: article

Source: Physica A Statistical Mechanics and its Applications

DOI: 10.1016/j.physa.2010.08.037

Authors: Daniel T. Cassidy, Michael J. Hamp, Rachid Ouyed

Institutions: McMaster University, University of Calgary

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Natural Sciences and Engineering Research Council of Canada

OpenAlex ID: W1578135430

FWCI: 4.441

Cites: 33

Cited by: 41

Related to: 10